Computing the intersection of sorted lists of size N1 and N2 is done in time N1+N2. When we have random access to the second list, it is also possible to search each element of the first list in the second one in time N1*log(N2), which is faster when N1 is much smaller than N2.
Two relevant links to optimize set_intersection (they consider the intersection of k sets, but the case k=2 is still interesting) http://erikdemaine.org/papers/SODA2000/ http://erikdemaine.org/papers/ALENEX2001/ (I am sure there are many others)