Is there any advantage or disadvantage to using sets over list comps to ensure a list of unique entries?

[deathweaselx86]

Howdy guys, I am new.

I've been converting lists to sets, then back to lists again to get
unique lists.
e.g

Python 2.5.2 (r252:60911, Jan 20 2010, 21:48:48)
[GCC 4.2.4 (Ubuntu 4.2.4-1ubuntu3)] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> foo = ['1','2','3']
>>> bar = ['2','5']
>>> foo.extend(bar)
>>> foo = list(set(foo))
>>> foo
['1', '3', '2', '5']

I used to use list comps to do this instead.
>>> foo = ['1','2','3']
>>> bar = ['2','5']
>>> foo.extend([a for a in bar if a not in foo])
>>> foo
['1', '2', '3', '5']

A very long time ago, we all used dictionaries, but I'm not interested
in that ever again. ;-)
Is there any performance hit to using one of these methods over the
other for rather large lists?