HTML
<ul>
<li>A</li>
<li>B</li>
<li>C</li>
<li>D</li>
<li>E</li>
</ul>
CSS
li:not(:last-child) {
margin-bottom: 5px;
}
EDIT: If you don't use the special case for the last li element your list will have a small spacing afterwards which you can see here: http://jsfiddle.net/wQYw7/
Now compare that with my solution: http://jsfiddle.net/wQYw7/1/
Sure this doesn't work in older browsers but you can easily use js extensions which will enable this for older browsers.