An A thru Z button set like a popup physical rolodex, is something I have used in the past. That would still leave 2000 entries to scroll through.
Take a look at the method used in this demo file. Since the value list auto-completes, just a few keystrokes tends to drastically reduce the remaining number of values in the list, yet the scripting used handles duplicate names and this method can also be used in combination with the methods for which David provided some links.
FileMaker 12 or newer users: https://dl.dropbox.com/u/78737945/SimpleNameLookupDemo.fmp12
Pre FileMaker 12 Users: https://dl.dropbox.com/u/78737945/SimpleNameLookupDemo.fp7