If you go to the export screen (Note the button on the control panel screen) you will see a number of options for exporting.
You can filter exports by company, city, state or zip code using wildcards and multiple matching. See the note on the export screen describing this. For example:
TO export contacts only in the states CO and CT use: CT,CO
You could also get a similar effect with C_ - using the underscore character to match any single character. This would include all two letter states that begin with 'C'
You can also filter by single or multiple categories and select which fields to export.
As of v1.2 custom fields can also be exported