Jquery Onclick and reference to the object clicked

Yes, the this keyword references the DOM element that was clicked. You can "wrap" it like this:

$(this)

This will allow you to treat it as a jQuery object.

Use

$(this)

you can use the return value

$("#tagList li").bind("click", function(e) {
    alert(e.currentTarget + ' was clicked!');
});

or if you want, you can simple point to the object in jQuery mode

$("#tagList li").bind("click", function(e) {
    alert($(this) + ' was clicked!');
});

if you're new to jQuery, I strongly suggest you to see some screencasts from Remy Sharp in jQuery for Designers, they are great to understand a little bit of how jQuery works, and better yet, how to use the console.log() in order to see the objects that you can use!