Latex Remove Spaces Between Items in List

What is the best way to format a list as to remove the spaces between list items.

It's easier with the enumitem package:

\documentclass{article}
\usepackage{enumitem}
\begin{document}
Less space:
\begin{itemize}[noitemsep]
  \item foo
  \item bar
  \item baz
\end{itemize}

Even more compact:
\begin{itemize}[noitemsep,nolistsep]
  \item foo
  \item bar
  \item baz
\end{itemize}
\end{document}

The enumitem package provides a lot of features to customize bullets, numbering and lengths.

The paralist package provides very compact lists: compactitem, compactenum and even lists within paragraphs like inparaenum and inparaitem.

You could do something like this:

\documentclass{article}

\begin{document}

Normal:

\begin{itemize}
  \item foo
  \item bar
  \item baz
\end{itemize}

Less space:

\begin{itemize}
  \setlength{\itemsep}{1pt}
  \setlength{\parskip}{0pt}
  \setlength{\parsep}{0pt}
  \item foo
  \item bar
  \item baz
\end{itemize}

\end{document}