This question was already asked on https://tex.stackexchange.com/questions/10684/vertical-space-in-lists. The highest voted answer also mentioned the enumitem
package (here answered by Stefan), but I also like this one, which involves creating your own itemizing environment instead of loading a new package:
\newenvironment{myitemize}
{ \begin{itemize}
\setlength{\itemsep}{0pt}
\setlength{\parskip}{0pt}
\setlength{\parsep}{0pt} }
{ \end{itemize} }
Which should be used like this:
\begin{myitemize}
\item one
\item two
\item three
\end{myitemize}