Test if the value of a counter belongs to a given list of values

\documentclass{article}
\usepackage{xifthen}
\newcounter{mycounter}
\setcounter{mycounter}{17}
\newcommand{\test}[2]{\ifthenelse{\isin{|#1|}{#2}}{Yes}{No}}
\begin{document}
\test{17}{|15|17|19|} returns Yes

\test{18}{|15|17|19|} returns No

\edef\tmp{\themycounter}
\expandafter\test\expandafter{\tmp}{|15|17|19|} returns Yes
\end{document}

This approach can be directly incorporated into the macro:

\documentclass{article}
\usepackage{xifthen}
\newcounter{mycounter}
\setcounter{mycounter}{17}
\newcommand{\test}[2]{%
  \edef\tmp{#1}%
  \ifthenelse{\expandafter\isin\expandafter{\expandafter|\tmp|}{#2}}{Yes}{No}%
}
\begin{document}
\test{17}{|15|17|19|} returns Yes

\test{18}{|15|17|19|} returns No

\test{\themycounter}{|15|17|19|} returns Yes
\end{document}

---

And for a completely different approach, here I use the listofitems package to parse argument #2 using expanded argument |#1| as the separator. If I get more than 1 element in the resulting array list, then one may conclude that the separator was found in #2.

\documentclass{article}
\usepackage{listofitems}
\newcounter{mycounter}
\newcommand{\test}[2]{%
  \edef\tmp{#1}%
  \expandafter\setsepchar\expandafter{\expandafter{\expandafter|\tmp|}}%
  \readlist\tmparray{#2}
  \ifnum\tmparraylen>1\relax Yes\else No\fi%
}
\begin{document}
\test{17}{|15|17|19|} returns Yes

\test{18}{|15|17|19|} returns No

\setcounter{mycounter}{17}
\test{\themycounter}{|15|17|19|} returns Yes
\end{document}

You can use pdfTeX's \pdfmatch{<strA>}{<strB>} which returns 1 if <strA> is found in <strB>. Pattern matching with punctuation requires some care. This is expandable:

\documentclass{article}

\newcommand{\test}[2]{\ifnum\pdfmatch{[|]#1[|]}{#2}=1 Yes\else No\fi}

\begin{document}

\verb!\test{17}{|15|17|19|}! returns: \test{17}{|15|17|19|}

\verb!\test{18}{|15|17|19|}! returns: \test{18}{|15|17|19|}

\newcounter{test}

\setcounter{test}{17}%
\verb!\test{\thetest}{|15|17|19|}! returns: \test{\thetest}{|15|17|19|}

\setcounter{test}{18}%
\verb!\test{\thetest}{|15|17|19|}! returns: \test{\thetest}{|15|17|19|}

\end{document}

The above pattern matching for \thetest works because \thetest expands to \arabic{test} (by default). If this is not the case, you can use \arabic{test} directly.

Or use package xstring, which has all manner of neat tests built in:

\documentclass{article}

\usepackage{xstring}

\newcounter{sausage}
\setcounter{sausage}{18}

\begin{document}

\IfSubStr{|17|18|19|}{|\arabic{sausage}|}{true}{false}
\IfSubStr{|17|15|19|}{|\arabic{sausage}|}{true}{false}

\end{document}