What if I want to find the lines exist in all the given files under linux. Of course I can write a small script but I do not want to do that, cause I am sure there are commands for this kind of task.

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grep -F -x -f file1 file2 ...

you can refer to the following page for more details.

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http://unix.stackexchange.com/questions/28158/is-there-a-tool-to-get-the-lines-in-one-file-that-are-not-in-another