Parsing a URL from a document and matching it from an array
Your code is simple and works, so I don't see any need to over-complicate things. It ofcourse depends on the sizes of the lists/data. But 500 doesn't seem so bad, performance wise.

It's good that you decided not to use regular expressions ([source])1
Using a CSS selector seems more appropriate. However it's prone to end up in errors if the site that provides the list changes its css.

In addition, I believe you have a small mistake with your indentation. Perhaps it's just a copy/paste error.

var arr = ['http://www.azaz.com', 'http://www.123.com'];
$("#links li").each(function () {
        var aa = $(this).find('a').attr('href');
        var found = $.inArray(aa, arr) &gt; -1;
        if(found === true){
            $(this).append("true");
        }
});


instead of

var arr = ['http://www.azaz.com', 'http://www.123.com'];
        $("#links li").each(function () {
        var aa = $(this).find('a').attr('href');
        var found = $.inArray(aa, arr) &gt; -1;
        if(found === true){
            $(this).append("true");
        }
});