How can I create a multi-level list menu from strings?

How can I create a multi-level list menu from strings?

I am using vbscript inside an HTA to get a list of subnet locations and it
returns text like the following:
Chicago
Denver
Dallas
Dallas/North
Dallas/South
Dallas/West
Dallas/West/Building1
Dallas/West/Building2
Houston
Sacramento/West
Sacramento/West/Building1
I'm trying to dynamically create an unordered list so that I can use
jquery to create a collapsible menu.
I can cycle through an array, but building the nested <ul>s and <li>s are
seemingly impossible. I have the jquery ready once the list is actually
built, but I can't seem to build it.
Is there any jquery that can do this for me?