I cant see your css.
but I am guessing this is what's missing...
your anchor tag has padding left/right, but not top bottom padding. the space that you see above and below is probably caused by either:
- padding on the LI
- margin-top/bottom on the anchor tag
find which one of the the two style rules it is, get rid of that declaration ( not the rule.. just the declaration for margin or padding) and add the same value as padding-top/bottom and you should be set
hope that helps