Probably exporting too much of subscribers. Look on your php settings.
One more option - there may be a problem with your MySQL. So check it with tools like mytop or anything else.
When exporting segments or through the filters form, is there a way to make this faster, maybe first get all those results and then export in one go (as it seems a step-by-step process right now)? As it searches much faster than it exports, what could be holding it back?