Not sure if it’s just me but I’m having trouble selecting large asteroids. I can select smaller asteroids though. Also I can select asteroids on the other side of the larger asteroids. It like the large isn’t there and it selects smaller asteroids on the other side of the large asteroids.

Any one else notice this?

You need to be aimedat the centerpoint of the roid. That may not necessarily be its visible center from where you are, but the physical center of the mesh (possibly the collision mesh, since that one's simpler). The selection algorithm works by figuring out which object's center is the least distance from the ray with its origin at your ship (a three-dimensional point-to-line equation, if you will), with priority to closer objects. Theoretically, it should also give priority to objects which are not obscured by the collision mesh of another object, but I don't think anything in the engine logic does that sort of occlusion detection at this point besides the usual "only render what you can see". Full occlusion detection is one of this things I always bug the devs to put in (imagine if explosions didn't travel through solid objects! Station-nuking would be prevented! If a rocket hit the guy in front of you, his ship would block yours from the explosion! Various other 1337 features. :P).

like the gray secret sector dots.

After almost 10 months playing this game I do know how to select roids. And I have selected these huge roids in the past. I've never selected a roid "through" another roid though.

Does anyone else notice this? (when i say huge roid i mean like 500m or bigger)

I've occasionally targetted other 'roids that are behind the 'roid I wanted to target. It's not a big deal, it's just caused by the targetting calculation determining that you're pointing closer to the center of the 'roid that it actually targetted, rather that the center or the 'roid that you meant to target. The best solution that I'd like to see is commands RadarNextNearestAsteroid and RadarPrevNearestAsteroid that would cycle through all the 'roids within Radar range in order of distance. I've suggested that in some of the threads on targetting controls:
http://www.vendetta-online.com/x/msgboard/3/10538#121340
http://www.vendetta-online.com/x/msgboard/3/9035#103910

Yeah, the selection heuristic is not very good.

Just gotta back up a bit and keep hitting "Select in front" until you get your roid selected.