For the list you already have two elements you could use - 'li' and 'a' but unfortunately IE6< doesn't understand :hover on anything other than anchors - So they have used a <b> tag so that they can apply different background images to both elements within the anchor on hover.
Just to add to this, other elements other than <b> could be used, like <span> or <i>, in the same way. I think Stu uses the <b> a lot as it is not used much these days as the <strong> element has replaced it for text styling.
I had seen the <spans> but not <b> or <i>. I keep looking at techniques like these because I have a couple of Joomla CMS sites I'd like to use them on. I haven't been able to figure a way to alter the markup output by the version 1.x code - version 1.5 should be easier. Thanks.