Lists are collections of data objects that can be operated over in a loop. Any group of data items can be treated as a list, for example multi-valued field values or the nodes which reference another node.
To create a list, use the 'Create a variable' action, and select the type of list you want. This action will allow you to set an initial value for the first item; then modifications to the list can be made using the 'Add an item to a list' and 'Remove an item from a list' actions.
Another useful tool for populating lists and performing loop operations is using the Views Rules plugin. This will allow you to use a view that is hardcoded to a set of values or a one that uses contextual filters to be populated by the component rule's parameter.