Greg Low explains some of the tricky bits behind using filtered indexes:
If you think about it, if all we’re ever going to use is one part of the index, i.e. just the unfinalized rows, having an entry in there for every single row is quite wasteful, as although the vast majority of the index will never be used, it still has to be maintained.
So in SQL Server 2008, we got the ability to create a filtered index. Now these were actually added to support sparse columns. But on their own, they’re incredibly useful anyway.
I use these on occasion but less than I want to, and a big part of the reason why is in this post, particularly around parameters.