I'd use a formula like this in a helper column:

=isnumber(match(a1,sheet2!a:a,0))
and drag down.

True means that a1 appears in sheet2, column A.

If that's not enough...

Chip Pearson has lots of techniques to work with duplicates:
http://www.cpearson.com/excel/Duplicates.aspx

kpk wrote:

I have two columns, 1 with 3800 entries and 2 with 1500 entries. I want to
find the entries which are in column 1 but not in column 2.
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kpk

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Dave Peterson