A quick update for using DotNetNuke's built in List functionality.
If you're logged in as a HOST you can create new lists from the HOSTS/LISTS menu.
If you want to access lists programatically? Here's some simple code for doing so, this uses the included United States region (States) list. In C# of course.
then use the following in your code
ListController lc = new ListController();
ListEntryInfoCollection leic = lc.GetListEntryInfoCollection("Region","","Country.US");
ddlStates.DataTextField = "Text";
ddlStates.DataValueField = "Value";
ddlStates.DataSource = leic;
ddlStates.Items.Insert(0, new ListItem("Select State", "-1"));
Pretty simple! now get to it!