Usually, Yii has ways to generate menus/breadcrumbs or to let you create forms/form elements but when it makes more sense to use plain html, go with that.
Take a look at the layout/main.php file, In the <head> section, how they impliment the ‘css’ links. It’s all stratight up html, except the the little <?php echo Yii:: … ?> stuff.
How ever to answer your original question about the <ul><li>…</li></ul> From the CHtml doc
listBox() Generates a list box. CHtml
listData() Generates the data suitable for list-based HTML elements. CHtml
listOptions() Generates the list options. CHtml
There also is an CHtml::openTag()/closeTag(), and the CHtml:tag().