- It has been proved that the set of irregular primes is infinite (in fact, it has been proven that even the smaller subset of irregular primes of the form $4n+3$ is infinite); whether the set of regular primes is infinite is still an open question (or, put another way, it has not yet been proven that the set of regular primes is finite).
- It is not known whether the set of Mersenne primes is finite or infinite.
- It has been conjectured that infinitely many Wilson primes exist.
Ignoring any sets defined by trivial limitations (e.g., “primes less than a billion” or similarly defined by some magnitude-based criteria), is there any subset of the integer primes that has been proven to be finite?
EDIT: The distinction between “trivial” and “nontrivial” is clearly critical in this question. I’m not sure I can think of a better wording. I don’t accept the AP theorem given in the first answer (below) as a counterexample, because it necessarily includes a magnitude-based criteria: the number of primes in an AP of given [fixed] difference $d$ starting with a given prime $q$ is finite, but the number of primes which are in any AP of given [fixed] distance $d$ is apparently infinite.