Highlight the data in column A (presumably starting from A1), then click on Conditional Formatting | New Rule | Use a formula... (from the bottom of the list), then put this formula in the dialogue box:

=ISNUMBER(MATCH(A1,B:B,0))

Click on the Format button | Fill tab and choose your colour, then click OK twice to exit the dialogue box.

Now highlight the data in column B and repeat, using this formula:

=ISNUMBER(MATCH(B1,A:A,0))

Hope this helps.

Pete