What you want to do is no more than the simple set operations of intersection and difference (or relative complement).
F# has the Set module to help us out here. This should do the job:
let a = [1 .. 10]
let b = [3; 5; 7]
let intersection = Set.intersect (Set.ofList a) (Set.ofList b)
let difference = (Set.ofList a) - (Set.ofList b)
You can then of course convert back the results into lists using Set.toList, if you wish.
As Mehrdad points out, this can be done alternatively using LINQ (or even the HashSet class in the BCL), but the approach here would seem to be most in the spirit of the F# language (certainly the nicest syntactically, and probably the most efficient too).