How to generate targets in a Makefile by iterating over a list?

Use text-transforming functions. With patsubst you can make quite general transformations. For constructing filenames, addsuffix and addprefix are both convenient.

For the rules, use pattern rules.

The overall result might look something like this:

LIST = 0 1 3 4 5
targets = $(addprefix rambo, $(LIST))

all: $(targets)

$(targets): rambo%: rambo%.sh
    sh $<

If you're using GNU make, you can generate arbitrary targets at run-time:

LIST = 0 1 2 3 4 5
define make-rambo-target
  rambo$1:
         sh rambo_script$1.sh
  all:: rambo$1
endef

$(foreach element,$(LIST),$(eval $(call make-rambo-target,$(element))))