Multiselect field values with customized bullet colors

Unfortunately, you're not going to be able to use the UL and LI tags without also using some additional styling for the list like "list-style-image" for this. This is still not exactly what you're asking for (since it would mean one image for the whole list), so you'd probably have to do something like what Meridith showed. Her's is probably going to be the easiest if you always have a set number of options, but there are really a lot of different ways to approach this.