Every browser has some default styles that apply to a number of HTML elements, likes p and ul. The space you mention is likely created because of the default margin and padding of your browser. You can reset these though:
p { margin: 0; padding: 0; }
ul { margin: 0; padding: 0; }
You could also reset all default margins and paddings:
* { margin: 0; padding: 0; }
I suggest you take a look at normalize.css: http://necolas.github.com/normalize.css/