I want to remove the span using jQuery,
I have tried the .unwrap();
but it\'s not working.
Unwrap should work. It's possible you're not successfully selecting the span which you wish to unwrap. You can try the following code which should select that span successfully:
$("li a span").unwrap()
It's a bit unclear from your question what exactly you're trying to do. It's also unclear whether you're having trouble with the selectors or with the jquery api. To get a better handle on jquery's selectors I recommend you install firebug and firequery, as it can really help you understand what you're selecting.