Where do the Dow and S&P 500 come from?

Specifically, are they strictly from the NYSE, or do they include stocks listed on the NASDAQ, or even AE?

I am 99.9 percent sure that all the Dow stocks (there are only 30 of them) all come from the NYSE. I’m also fairly certain that the S&P stocks dip into the Nasdaq, but I don’t know if any come from the AE.

That 0.01 percent will always come back to get you.
Both Intel (INTC) and Microsoft (MSFT) trade on the NASDQ. For a list of the Dow Jones Industrial components look here: http://finance.yahoo.com/q?s=@^dji

The S&P 500, as the name suggests is an index of 500 of the largest companies (NOT the 500 largest) by market capitalization. For a description of the index and a link to the listing try this www.bloomberg.com/markets/sp500.html