Futzed with it some more, and this code will do it:

Sub Find_Validation()
Dim rCell As Range
On Error Resume Next
For Each rCell In ActiveSheet.UsedRange
If rCell.Validation.Type = xlValidateList _
Then MsgBox rCell.Validation.Formula1

Next rCell

End Sub

.... but is there a more direct or "elegant" way? The On Error Resume
Next seems like a cheap fix.