Sort the two lists and compare with comm:

$ cat a
one
two
three
four
five
six
seven
$ cat b
two
four
five
six
seven
$ sort a > a.sorted
$ sort b > b.sorted
$ comm -23 a.sorted b.sorted
one
three
$
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Update 2009 sep 2.

See Re^2: Joining two files on common field for a list of other nodes where unix textutils is suggested to merge files.