Hi Aterm,
Here is a VBA solution.
It dumps all missing dates into a spare column that you select by changing
the value of MDC.
You then copy and paste those dates to the bottom of your dates column, and
do a SORT. Remember to include both your date column and your data column in
the sort!
You also need to change the values of DC and DR to match your dates
location. See the notes in the code, which will be green once pasted into a
module.
You should do this on a copy of your data first.

Sub ListDates()
Dim DC As Integer
Dim DR As Integer
Dim NM As Integer
Dim MDC As Integer
Dim MDR As Integer
DC = 1 'Change this value to your Dates Column Number (A=1, B=2 etc)
DR = 1 'Change this value to your Dates 1st row number
MDC = 2 'Change this value to any spare column number (A=1, B=2 etc)
MDR = 1
Do Until Cells(DR + 1, DC) = ""
   NM = Cells(DR + 1, DC) - Cells(DR, DC) - 1
   Do Until NM = 0
       Cells(MDR, MDC) = Cells(DR, DC) + NM
       NM = NM - 1
       MDR = MDR + 1
   Loop
DR = DR + 1
Loop
End Sub

Regards - Dave.

Just to clarify ...

If you have this data in A1:B3 (for one variable)
29-Dec-00    1
2-Jan-01    8
4-Jan-01    7

then you'd get this desired result in D1:E7
29-Dec-00    1
30-Dec-00   
31-Dec-00   
1-Jan-01   
2-Jan-01    8
3-Jan-01   
4-Jan-01    7

If the above doesn't work, then that probably means your dates in col A
aren't real dates. You can easily convert it to real dates all at one go via
selecting col A only, then click Data > Text to Columns. Click Next>Next to
go to Step 3, check "Date", then select, say*: DMY, click Finish    
*select the correct date format

P/s: You should feedback to all who have responded to you