Doug's solution is nice if you want to split the list up into sub lists.
Instead I chose to position the list elements without changing the dom.
This is a bit messy, basically it puts a left margin on each element which is the column number multiplied by the column width.
This will result in a staircase layout so the next step was to add some negative top margin to bring each element up to the top.
Basically this displays as a grid. I am using this for drop down menus so it worked well. Avoid using this if you need each list item to have a dynamic height. The col_height variable could be set to the height of the largest item to make the code a bit more general purpose.
var col_max_height = 6; //Max Items per column
var col_width = 200; //Pixels
var col_height = 33; //Pixels
$('.header ul li ul').each(function() {
$(this).find('li').each(function(index){
column = parseInt(index/col_max_height);
$(this).css('margin-left', column * col_width + 'px')
if(column > 0) {
$(this).css('margin-top', (index - (col_max_height * column) + 1) * -col_height + 'px').addClass('col_'+column);
}
});
});