Use the formula by tigeravatar:
=COUNTIF($B$2:$B$5,A2)>0 – tigeravatar Aug 28 '13 at 14:50
as conditional formatting. Highlight column A. Choose conditional formatting by forumula. Enter the formula (above) - this finds values in col B that are also in A. Choose a format (I like to use FILL and a bold color).
To find all of those values, highlight col A. Data > Filter and choose Filter by color.