It seems that the number you set under the Reading Options for the maximum number of posts to show per page causes a bug. Try viewing all of the entries you made in 2004 in one single page. Are you able to view all of them? Not me. I'm shown the last 35 entries made in 2004; 35 is the number I set under the Reading Options.
I already tried switching to one of the themes that come with WordPress 1.5, to make sure my customized index file wasn't the culprit. The problem was still there.