Tough not to mention a un*x golf solution ;)

$ comm -12 <(sort FILE1) <(sort FILE2) > OUT # comm gives 3 cols
                            # 1: lines only in first file
                            # 2: lines only in second file
                            # 3: common lines 
                            # flag -# suppresses col#
[download]

magic <(...) is to save a temporary file. If your shell does not support it just do 'sort FILE1 -o FILE1.s' comm needs sorted files for its magic.

cheers --stephan