How to locate a list within a list?

It really depends on how fast you need it and how many elements your list will have. Let's assume the worst:

list = Range[1000000];
contain = {1, 2, 3, 4, 5, 6};

Checking fun from Lotus

fun[list, contain] // RepeatedTiming
(* {0.27, True} *)

and f from kglr

f[list, contain] // RepeatedTiming
(* {0.043, True} *)

Here is a version that is again an order of magnitude faster, although it looks awful

h[list_, sub_] := With[{l = Length[sub]},
  Catch[Developer`PartitionMap[If[# === sub, Throw[True]] &, list, l, 1]] === True
  ]

h[list, contain] // RepeatedTiming
(* {0.00271, True} *)

However

As you see, my example was made to test the influence of a large input list and an early accepting contain. I should note when contain is located at the far end of list, @kglr's version works best and it seems to have a constant running time.

Final notes

I tried to find a simple algorithm, that matches the speed of SequencePosition and is in most cases better. A satisfactory solution seems to be to go linear through the list and test if the current element is equal to the first element in the sub list. Only if yes, we compare the full sublist.

In high-level Mathematica, this still cannot compete but when we compile it down to C, then this seems to be a fast solution. A clear disadvantage of this solution is that it only works with typed lists (here integers).

uglyC = Compile[{{list, _Integer, 1}, {sub, _Integer, 1}},
  With[{l = Length[sub], first = sub[[1]]},
   Do[
     If[list[[i]] === first && 
       list[[i ;; i + Length[sub] - 1]] === sub,
      Return[True]
      ], {i, 1, Length[list] - Length[sub] + 1}
     ] === True
   ], CompilationTarget -> "C", RuntimeOptions -> "Speed"
  ]

Let's do some test-cases with a random large list

list = RandomInteger[100, 1000000];

First we try a long sublist that is not part. I need to use AbsoluteTiming for the compiled code to get meaningful results

f[list, Range[50, 150]] // RepeatedTiming
(* {0.0057, False} *)

Median@Table[First@AbsoluteTiming[uglyC[list, Range[50, 150]]], {50}]
(* 0.004662 *)

Sublists that match, but were the match is at the very end of list will have an equivalent runtime. However, the closer the match comes to the front of list, the faster the Do loop will be

f[list, list[[100 ;; 110]]] // RepeatedTiming
(* {0.0057, True} *)

Median@Table[First@AbsoluteTiming[uglyC[list, list[[100 ;; 110]]]], {50}]
(* 5.*10^-6 *)

I have not tested all scenarios and I believe the ugly compiled code should not be used, if it is not absolutely time-critical. A simple SequencePosition should be preferred.

f1 = SequencePosition[##] != {}&;
f1b = Length[SequencePosition[##]] > 0&; (* thanks: @Henrik Schumacher *)

f1[{1, 2, 3, 4}, #] & /@ {{2, 3}, {2, 3, 4}, {2, 4},{2, 3, 1}}

{True, True, False, False}

f2 = MemberQ[Subsequences[#, {Length @ #2}],#2]&;
f2[{1, 2, 3, 4},#] & /@ {{2, 3}, {2, 3, 4}, {2, 4}, {2, 3, 1}}

{True, True, False, False}

Two variations on halirutan's approach:

ClearAll[f3,f4]
f3[lst_,sub_]:= Or @@ BlockMap[# === sub&, lst, Length@sub, 1]
f4[lst_,sub_]:=Catch[BlockMap[If[# === sub, Throw[True]]&, lst, Length@sub, 1]] === True

We may use pattern matching:

f[a_, {ss__}] := MatchQ[a, {___, ss, ___}]

Testing:

f[{1, 2, 3, 4}, {2, 3}]          (* True  *)
f[{1, 2, 3, 4}, {2, 3, 4}]       (* True  *)
f[{1, 2, 3, 4}, {2, 4}]          (* False *)

This should work in any version of Mathematica and it is nearly equivalent in performance to SequencePosition: (as measured in version 10.1 under Windows)

f1[Range[10000], {5000, 5001, 5002}] // RepeatedTiming
f[Range[10000], {5000, 5001, 5002}]  // RepeatedTiming

{0.000444, True}

{0.000475, True}