These are the four states of matter: solid, liquid, gas, plasma.
These are the four states of matter: solid, liquid, gas and plasma.
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Not only is it not incorrect, it even has a name: asyndeton (Gk: "not bound together").
asyndeton noun (plural asyndeta /-tə/)
The omission or absence of a conjunction between parts of a sentence, as in I came, I saw, I conquered
It is not incorrect. But it implies that the list is incomplete, that an item has been left out. Obviously, if you say there are four elements and then list four, this wouldn't apply. But it can be kind of jarring to the reader, used to the typical and.
...One may occasionally omit and before the final element in an enumeration with a particular nuance in mind: without and, the implication is that the series is incomplete...; with and the implication is that the series is complete. This shade in meaning is increasingly subtle in modern prose.
--The Oxford Dictionary of American Usage and Style, onine version, 2002
"Incorrect", maybe not. But more than 99.9% of the time, there will be an "and" in that position, unless it was left out for some "rhetorical" effect.
The only situation I can imagine in which this seems like it might be natural would be a non-exhaustive list of examples given for rhetorical effect:
They stole from their targets indiscriminately: money, jewels, priceless paintings.
It is definitely nonstandard even in such a situation, though.