It's important for your site visitor to know where exactly he is right now so he could found his way among your site and know where he is and where can he go, in more than one level structured sites it maybe represented like this (Home > products > Laptops) for example, but in 1 level structured sites like this one for example there is other ways.
You also have to take care not to link to the same page you're on so the page you're on should not be linked to in the same page, as it's extremely confusing.
The most well known technique is adding a class to the list item and style it differently through the CSS if we took the navigation on the left side here as an example it will be like this
November 14, 2006, 8:49 AM | CSS , User experience , Web standards , XHTML