I had the same problem, but I solved it

It's really ridiculous, as my old 3310 had the option of muting a single contact, by selecting "Silence" instead of a ringtone.
I exactly did what Montagu said, I selected a ringtone for the contact who I wanted to mute. The trick is, that I created a small mp3 file, which is totally empty, named it "silence" and uploaded to the phone. It behaves like a normal ringtone, and I can add it to any contacts, their calls will be silent

Too bad: I can't silent message tones by contact.
I think Nokia should consider this option, it's very useful sometimes...
Currently 8800, previously: 3310, 6210, 8210, 7250i, 8850, 8910i, 6600, 6680, 6300.