Creating a Parameter List with an Option to Filter by All Values

Create the parameter

1. In the Parameters pane, right-click and select Create > Parameter....
2. For Data Type, select String.
3. For Allowable values, select List.
4. In the List of values add the dimension members of the desired field to be filtered.
5. Click Click to add new value to manually add the value "All".

Create a calculated field

1. Navigate to Analysis > Create calculated field....
2. Enter a formula similar to the following: [Dimension field you want to filter on] = [Parameter created above] OR [Parameter] = 'All').
3. Drag the new calculated field to the Filters shelf and select True.