There is an algorithm due to Zassenhaus which, in principle, lists all conjugacy classes of finite subgroups of compact Lie groups. I believe that the algorithm was used for $\mathrm{SO}(n)$ for at least $n=6$ if not higher. I believe it is expensive to run, which means that in practice it is only useful for low dimension.
Added
Now that I'm in my office I have my orbifold folder with me and I can list some relevant links:
- Zassenhaus's original paper (in German) Über einen Algorithmus zur Bestimmung der RaumgruppenÜber einen Algorithmus zur Bestimmung der Raumgruppen
- There is a book by RLE Schwarzenberger N-dimensional crystallography with lots of references
- There are a couple of papers in Acta Cryst. by Neubüser, Wondratschek and Bülow titled On crystallography in higher dimensions
- There is a sequence of papers in Math. Comp. by Plesken and Pohst titled On maximal finite irreducible subgroups of GL(n,Z) which I remember were relevant.
Independent of this algorithm, there is some work on $\mathrm{SU}(n)$ from the physics community motivated by elementary particle physics and more modern considerations of the use of orbifolds in the gauge/gravity correspondence.
The case of $\mathrm{SU}(3)$ was done in the mid 1960s and is contained in the paper Finite and Disconnected Subgroups of SU(3) and their Application to the Elementary-Particle Spectrum by Fairbairn, Fulton and Klink. For the case of $\mathrm{SU}(4)$ there is a more recent paper A Monograph on the Classification of the Discrete Subgroups of SU(4)A Monograph on the Classification of the Discrete Subgroups of SU(4) by Hanany and He, and references therein.
Further edit
The paper Non-abelian finite gauge theoriesNon-abelian finite gauge theories by Hanany and He have the correct list of finite subgroups of SU(3), based on Yau and Yu's paper Gorenstein quotient singularities in dimension threeGorenstein quotient singularities in dimension three.