I ran into an issue doing a mail merge today that, while it falls into the user-generated DOH! category, is still worth documenting. The symptom was a totally non-responsive instance of Word when I tried to do the last step "Edit Individual Items".
I have about 140 items in the merge. I selected the "ALL" button to fixup some labels manually and save the file, but Word would never come back and I'd have to kill everything and start over.
The DOH! moment came when I finally tried selecting items 1 through 150 instead of ALL. Word came back quickly with the correct data. In hindsight it's obvious Word was reading too many records from Excel. I had applied formatting to a column (not just the cells with data), and I think that was what caused Word to read all 65,555 rows from the Excel file when I told it to merge ALL.
You can confirm this by scrolling down the items in the window that pops-up when you select a data source. You can apply a Filter (e.g. Company - not equal to - blank) at this stage to eliminate the ghost rows.