Use the Python set type. That would be the most Pythonic. :)
Also, since it's native, it should be the most optimized method too.
See:
http://docs.python.org/library/stdtypes.html#set
http://docs.python.org/library/sets.htm (for older python)
# Using Python 2.7 set literal format.
# Otherwise, use: l1 = set([1,2,6,8])
#
l1 = {1,2,6,8}
l2 = {2,3,5,8}
l3 = l1 - l2