Not the most efficient one, but by far the most obvious way to do it is:
>>> a = [1, 2, 3, 4, 5]
>>> b = [9, 8, 7, 6, 5]
>>> set(a) & set(b)
{5}
if order is significant you can do it with list comprehensions like this:
>>> [i for i, j in zip(a, b) if i == j]
[5]
(only works for equal-sized lists, which order-significance implies).