From Data/Validation, in sheet1 I can specify LIST and its source, say
=$c$1:$c$20. It worked perfectly. If I try:
=sheet3!$c$1:sheet3!$c$20, Excel 2003 told me that I was not supposed
to do that!

Putting the validation list separately has many merits. one is to avoid
accidentally modifying the List while we are manupulating worksheet
data such as deleting 5 rows, copy this column and paste that row. The
other reason is after a couple of months, we may forget that these
are 'data validation list' and we may ponder why we have this cells co-
exist with all other sales figures in a yearly report. They seemed so
starnge to sit side by side to each other. So, I want the list to be
placed in a different sheet!