Differences between Python lists and sets

If you try to find the same value among the two lists in Python, it is usually

for i in list1:
    for j in list2:
        if i == j :
            print(i)

I found it using the for statement twice, but I changed it to a set, and then I found the intersection built-in function If you use it, it's easy to find it. In the set, how do you find it? I wonder if I can find it quickly. (It's too fast to just be a difference in the structure of the data.) I'm sure it's a different Does the set sort to find the intersection?