When exporting contacts, and asked to choose whether to export all or selected fields, the help text states:
Export PRIMARY contact fields provides the most commonly used data values. This includes primary address information, preferred phone and email, as well as all custom data.
On the drupal demo server, using the contact Mrs Chetan Z Adams Sr (cid 40), I set the field st in the custom data group Constituent Information to the string "ZZYZ random custom data", then exported the contact using primary contact fields option. No custom data was exported. However, I was able to correctly export this data by explicitly selecting this field.
Obviously, this issue could be closed by changing the help text. But given that the user has bothered to create the custom fields, I believe it would be better to consider them a primary field and export them.
Individual contact: http://demo.civicrm.org/drupal/civicrm/contact/view?reset=1&cid=40
Exported CSV file attached.