<added>It sounds like this is a different quetion to me. You're asking about space between the bullet and the following text, right? Not spacing between the various list items</added>
If you're using the default bullet, that's something each browser does differently. You can have some control by using
list-style-image:url(mybullet.gif) and creating your own custom bullet.
However, there are such cross-browser inconsistencies that the best bet when tight control is desired might be to avoid the built-in list function. You can get the exact effect you want by imitating a "true" list with a class for <p> or <div> which declares the exact indent you want, places the bullet and then follows it with exactly the amount of space you need.