I've seen great questions on similar topics, but none that addressed this particular method:

Given that I have multiple collections of game entities in my [XNA Game Studio] game, with many entities belonging to multiple lists, I'm considering ways I could keep track of whenever an entity is destroyed and remove it from the lists it belongs to.

A lot of potential methods seem sloppy/convoluted, but I'm reminded of a way I've seen before in which, instead of having multiple collections of game entities, you have collections of game entity IDs instead. These IDs map to game entities via a central "database" (perhaps just a hash table).

So, whenever any bit of code wants to access a game entity's members, it first checks to see if it's even in the database still. If not, it can react accordingly.

Is this a sound approach? It seems that it would eliminate many of the risks/hassles of storing multiple lists, with the tradeoff being the cost of the lookup every time you want to access an object.