If you want to do this without using a second table, you can do a LIKE comparison with a CAST:
DECLARE @myList varchar(15)
SET @myList = ',1,2,3,4,'
SELECT *
FROM myTable
WHERE @myList LIKE '%,' + CAST(myColumn AS varchar(15)) + ',%'
If the field you're comparing is already a string then you won't need to CAST.
Surrounding both the column match and each unique value in commas will ensure an exact match. Otherwise, a value of 1 would be found in a list containing ',4,2,15,'