I have always the same problem, when I have 2 adjacent elements with borders, the borders are merged. With tables we have the border-collapse property for solving this.
You can add a left and bottom border to the ul and drop it from the li.
fiddle: http://jsfiddle.net/TELK7/
html:
<ul> <li>one</li> <li>two</li> </ul>
css:
ul{ border: 0 solid silver; border-width: 0 0 1px 1px; } li{ border: 0 solid silver; border-width: 1px 1px 0 0; padding:.5em; }