Along with Pivot Tables, AutoFilter is one the Excel features I find most useful. I have always found that it a little hard sometimes to see which columns I am filtering on. Many times I have turned off the AutoFilter and then turned it back on in order to start from scratch.
Summary: When you use the AutoFilter capabilities of Excel (Data | Filter | AutoFilter), small drop-down arrows appear at the top of each column in your data table. The color of the drop-down arrows changes from black to navy blue if a filter is applied to the column. The color of the arrows cannot be changed, but there are workarounds that can be used to make filtered columns stand out better. (This tip works with Microsoft Excel 97, Excel 2000, Excel 2002, and Excel 2003.)