Sneaky ninja method:
Several Excel features "claim" that you can't reference another worksheet (advanced filter, data validation, etc). However, if your first setup a named range, it'll work just fine. So, define "MyRange" as:
='Sheet2'!$A$2:$A$10
Then, in your data validation, list is:
=MyRange
Voila! Excel has no problem. =)
http://www.contextures.com/xldataval05.html