You don't have to look through each one of your target lists to find out which ones you have assigned one particular contact to. Instead, you can go to the contact's profile page and look at what entries they have under "Lists".
Locate your contact by searching for their name or email address using the quick search function at the upper right of the Agility page. Clicking on the contact's name will take you to their profile page.
In the profile, if the contact has been assigned to any lists, the list names will be indicated. Otherwise, it will simply say "None".
You can also use this feature to remove the client from a specific list. Just click on the X beside the name of the list to remove them from that list.