Sorry for my unspecification. I use \documentclass{book}, and I typed that :

\bibliography{refs.bib}

%%%%%%%%%%%

\include{Appendix 1}

\thispagestyle{empty}

%%%%%%%%%%%%

\include{Appendix 2}

\thispagestyle{empty}

%%%%%%%%%%%%

\include{Appendix 3}

\thispagestyle{empty}

%%%%%%%%%%%%

\include{Appendix 4}

\thispagestyle{empty}

But then it appears only 3 first appendices.

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Welcome to TeX.sx! So stated the problem is not very clear. What class are you using? Can you give an example of what you're trying to do? –  egreg Jan 9 '13 at 23:47
Welcome to TeX.sx! Please add a minimal working example (MWE) that illustrates your problem. It will be much easier for us to reproduce your situation and find out what the issue is when we see compilable code, starting with \documentclass{...} and ending with \end{document}. –  henrique Jan 9 '13 at 23:48
A tip: If you indent lines by 4 spaces, they'll be marked as a code sample. You can also highlight the code and click the "code" button (with "{}" on it). –  doncherry Jan 11 '13 at 0:00

\addcontentsline is written to the toc when the page is "shipped out". If the command is on an empty page which is not written to the pdf or dvi it gets lost - it wouldn't have much sense anyway as without page there is no sensible page number.

\documentclass{article}
\begin{document}
\tableofcontents

blub