It's been on Wikipedia for years:

http://en.wikipedia.org/wiki/List_of_lists_which_do_not_incl...

And it actually does something useful.

> (Punchline drumroll)

I believe the musical term is "sting" -- see http://en.wikipedia.org/wiki/Sting_(percussion)

Ha. That's actually pretty funny. To state the obvious: that's impossible. If the list omits itself, it's incomplete. It it includes itself, it's invalid.