Mathematica provides powerful functions for constructing lists of any size and structure.
Range — form a list from a range of numbers or other objects

Table — make a table of any dimension of values of an expression
Array — make an array of any dimension by applying a function to successive indices
ConstantArray — form of a constant array of any dimension
SparseArray,
Normal — create a list from a sparse array

specification
Tuples — all possible
n-tuples from a list
RandomInteger,
RandomChoice,
... — make lists of random elements
NestList — create a list by successively iterating a function
Sow,
Reap — create lists of elements "sown" inside programs
IntegerDigits,
RealDigits — make lists from digits in numbers
CoefficientList,
CoefficientArrays — make lists from polynomials or equations
Characters — make a list from the characters in a string
CharacterRange — a list of a range of characters (e.g. "a" through "z")
ReplaceList — make a list of possible pattern replacements