Nie działa ponieważ skrypt uruchamiający listę musi znajdować się po elementach listy (lub przed samym końcem <body> )
Spróbuj tak:
<script src="http://ajax.googleapis.com/ajax/libs/jquery/1.8.0/jquery.min.js" type="text/javascript"></script>
<script src="jquery.listnav-2.1.js" type="text/javascript"></script>
.listNav { margin:0 0 10px; }
.ln-letters { overflow:hidden; }
.ln-letters a { font-size:0.9em; display:block; float:left; padding:2px 6px; border:1px solid silver; border-right:none; text-decoration:none; }
.ln-letters a.ln-last { border-right:1px solid silver; }
.ln-letters a:hover,
.ln-letters a.ln-selected { background-color:#eaeaea; }
.ln-letters a.ln-disabled { color:#ccc; }
.ln-letter-count { text-align:center; font-size:0.8em; line-height:1; margin-bottom:3px; color:#336699; }
/* demo-specific
----------------------------------------------------------------- */
#demoThree-nav .ln-letters a { border:none; border-top:2px solid pink; color:red; }
#demoThree-nav .ln-letters a.ln-last { border-right:none; }
#demoThree-nav .ln-letters a:hover,
#demoThree-nav .ln-letters a.ln-selected { border-top:2px solid red; background-color:pink; color:White !important; }
#demoThree-nav .ln-letters a.ln-disabled { color:pink; }
#demoThree-nav .ln-letters a.ln-disabled:hover { color:white; }
#demoThree-nav .ln-letter-count { color:red; }
#demoThree li { color:pink; }
#demoThree li a { color:red; text-decoration:none; }
#demoThree li a:hover { text-decoration:underline; }
#demo4 #listWrapper { width:650px }
#demoFour li { float:left; }
#demoFour a { display:block; text-align:center; width:85px; border:1px solid silver; padding:10px; margin:0 10px 10px 0; text-decoration:none }
#demoFour a:hover { background-color:#eee }
<li class="ln-a" style="display: list-item;"><a href="#">Agizzy
</a></li>
<script charset="utf-8" type="text/javascript">
$('#myList').listnav();