Create Index with WHERE Clause in SQL Server to Improve Performance

One thing which I always wanted to see is, can I create an index with selective list on a column? If i create an index on a column then Index is will have all the values. If the table is very big then maintenance of the index is going to be nightmare!!! Indexes are used to improve the query performance but even after having index i am not really getting what i am looking for!! i want more..Amazing i have got the feature which i am looking for in 2008 where i can limit the Index on a specific set of values!! isn't this kool!!!