The following is an answer from 2011. Obviously the right answer changed from that time as there is a better answer in 2014. Please note the 3 year difference before voting on the answer.
Keeping for archival reasons only, original answer:
I have checked the related Google Groups and Support threads. Obviously, it's not supported (and looks like no soon plan to be, although not 100% sure about this one).
The way I do now is export to Excel and apply the filter there, then find a likely unique value (or repeats few times) in the sheet to correlate the row in the Google Spreadsheet (by finding it in the Google sheet) and apply the required modifications. Not optimal, still hoping for per-user fllter support.