Quicker way to get all unique values of a column in VBA?

Use Excel's AdvancedFilter function to do this.

Using Excels inbuilt C++ is the fastest way with smaller datasets, using the dictionary is faster for larger datasets. For example:

Copy values in Column A and insert the unique values in column B:

Range("A1:A6").AdvancedFilter Action:=xlFilterCopy, CopyToRange:=Range("B1"), Unique:=True

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It works with multiple columns too:

Range("A1:B4").AdvancedFilter Action:=xlFilterCopy, CopyToRange:=Range("D1:E1"), Unique:=True

Be careful with multiple columns as it doesn't always work as expected. In those cases I resort to removing duplicates which works by choosing a selection of columns to base uniqueness. Ref: MSDN - Find and remove duplicates

Here I remove duplicate columns based on the third column:

Range("A1:C4").RemoveDuplicates Columns:=3, Header:=xlNo

Here I remove duplicate columns based on the second and third column:

Range("A1:C4").RemoveDuplicates Columns:=Array(2, 3), Header:=xlNo

Loading the values in an array would be much faster:

Dim data(), dict As Object, r As Long
Set dict = CreateObject("Scripting.Dictionary")

data = ActiveSheet.UsedRange.Columns(1).Value

For r = 1 To UBound(data)
    dict(data(r, some_column_number)) = Empty
Next

data = WorksheetFunction.Transpose(dict.keys())

You should also consider early binding for the Scripting.Dictionary:

Dim dict As New Scripting.Dictionary  ' requires `Microsoft Scripting Runtime` '

Note that using a dictionary is way faster than Range.AdvancedFilter on large data sets.

As a bonus, here's a procedure similare to Range.RemoveDuplicates to remove duplicates from a 2D array:

Public Sub RemoveDuplicates(data, ParamArray columns())
    Dim ret(), indexes(), ids(), r As Long, c As Long
    Dim dict As New Scripting.Dictionary  ' requires `Microsoft Scripting Runtime` '

    If VarType(data) And vbArray Then Else Err.Raise 5, , "Argument data is not an array"

    ReDim ids(LBound(columns) To UBound(columns))

    For r = LBound(data) To UBound(data)         ' each row '
        For c = LBound(columns) To UBound(columns)   ' each column '
            ids(c) = data(r, columns(c))                ' build id for the row
        Next
        dict(Join$(ids, ChrW(-1))) = r  ' associate the row index to the id '
    Next

    indexes = dict.Items()
    ReDim ret(LBound(data) To LBound(data) + dict.Count - 1, LBound(data, 2) To UBound(data, 2))

    For c = LBound(ret, 2) To UBound(ret, 2)  ' each column '
        For r = LBound(ret) To UBound(ret)      ' each row / unique id '
            ret(r, c) = data(indexes(r - 1), c)   ' copy the value at index '
        Next
    Next

    data = ret
End Sub