Unordered lists, with definition list to express categories. E.g.
<dl>
<dt>Main navigation</dt>
<dd>
<ul>
<li>Link 1</li>
<li>Link 2</li>
<li>Link 3</li>
</ul>
</dd>
<dt>Featured links</dt>
<dd>
<ul>
<li>Link 1</li>
<li>Link 2</li>
<li>Link 3</li>
</ul>
</dd>
</dl>
You *could* dispense with the <ul>s and just have multiple <dd>s, but in practice I find the extra elements tend to come in handy for CSS styling.