basic <ul> html output in menus

The menu by default outputs lots of html like the example underneath. How can I change this? I'm not sure what template or function to edit and how.

I want something simple like this:

<ul class='menu'>
   <li class='first'><a...>...</a>
  </li>
</ul>

instead of:

<span id="thmr_69" class="thmr_call">
  <div id="block-menu-primary-links" class="clear-block block block-menu">
    <div class="content">
       <span id="thmr_63" class="thmr_call">
         <ul class="menu">
             <span id="thmr_56" class="thmr_call">
                <li class="leaf first">
                   <span id="thmr_55" class="thmr_call">
                     <a href="/m/drupal/content/one" title="one">one</a>
                   </span>
                 </li>
             </span>
          </ul>
       </span>
    </div>
  </div>
</span>