For a limited list, don't use an autocomplete edit box or combobox, but use a listbox where all values are visible all at once. For limited lists, especially with static content of up to about 8 items, this takes up real estate, but presents the user with a better immediate overview.
For less than 5 items a radiogroup or checkbox group (multiple selections) may also be better.
For lists whose content is dynamic, like a list of contacts, a (scrolling) listbox or combobox are appropriate because you never know how many items will be in the list. To keep it manageable, you will need to allow for some kind of filtering and/or autocomplete.
Autocomplete usually suffers from the fact that what the users types needs to match a string from the beginning. I hate those except for when they are used to complete a value based on what I typed in that (type of) field before. E.g. what browsers nowadays offer when filling out online forms.
Allowing a user to start typing in a combobox usually suffers the same drawback. But admittedly it doesn't need to if the filtering is based on "like %abc%" instead of "starts with abc"
When dealing with lists that can have many similar items, I really like the way GMail's "To" field handles it. You start typing any part of someone's name or e-mail address and GMail will drop down a list presenting all the contacts whose name or e-mail address contains the characters you have typed so far anywhere within them. Using the up and down keys changes the selection in the dropped down list (without affecting what you have typed) and pressing enter adds the currently selected item to the "To" field. By far the best user experience I have had so far when having to select something from a list.
Haven't found any components yet that can do this, but it's not too hard to "fake" by combining an edit box and a listbox that drops down when you start typing and has its contents is filtered based on what has been typed so far.