怎么样:

public static bool WriteMenu(List<Page> pages, int parentId, int indent)
{
    string padding = new string(' ', indent * 8);
    bool writtenAny = false;
    foreach (var page in pages.Where(p => p.ParentPageId == parentId))
    {
        if (!writtenAny)
        {                
            Console.WriteLine();
            Console.WriteLine(padding + "<ul>");
            writtenAny = true;
        }
        Console.Write(padding + "    <li>{0}", page.PageId);
        if (WriteMenu(pages, page.PageId, indent + 1))
        {
            Console.WriteLine(padding + "    </li>");                
        }
        else
        {
            Console.WriteLine("</li>");
        }
    }        
    if (writtenAny)
    {
        Console.WriteLine(padding + "</ul>");
    }
    return writtenAny;
}    
...
WriteMenu(pages, 0, 0);