It's not recommended to use a regex on HTML. An XML parser would be better. And even better than that would be using javascript. This will output what you're looking for
var li = document.getElementsByTagName('li');
var liLength = li.length;
for(i=0;i<liLength;i++){
if(document.all){ //IE
alert(li[i].innerText);
}else{ //Firefox
alert(li[i].textContent);
}
}
An alternative, which would be better supported than writing these things yourself would be to use a javascript framework, such as jQuery (like richardtallent suggests).
You'd be able to do something with that in a much less verbose manner, like:
$('li').each(function(){
alert($(this).text());
});