The trick to this one is to name the range on Sheet 2. In Data Validation, Excel will not allow you to choose a range outside of the current sheet. In the Data Validation dialog box type the name of the range on Sheet 2 in the Source box with an equal sign in front of it. The validation would be for the cells on Sheet 1.

EXAMPLE:
Defined Range Name - Fubar
Source - =Fubar

Good Luck!