Add Dividers or Separators Between Nav Menu Items

Use a custom walker. Extend start_el() to print <li class="menu_separator"><hr></li> if the menu title is just a '-'.

functions.php

function wpse38241_setup_menu()
{
    register_nav_menu( 'main-menu', 'Main Menu' );
}
add_action( 'after_setup_theme', 'wpse38241_setup_menu' );


/**
 * Replaces items with '-' as title with li class="menu_separator"
 *
 * @author Thomas Scholz (toscho)
 */
class Wpse38241_Separator_Walker extends Walker_Nav_Menu
{
    /**
     * Start the element output.
     *
     * @param  string $output Passed by reference. Used to append additional content.
     * @param  object $item   Menu item data object.
     * @param  int $depth     Depth of menu item. May be used for padding.
     * @param  array $args    Additional strings.
     * @return void
     */
    public function start_el( &$output, $item, $depth, $args )
    {
        if ( '-' === $item->title )
        {
            // you may remove the <hr> here and use plain CSS.
            $output .= '<li class="menu_separator"><hr>';
        }
        else
        {
            parent::start_el( &$output, $item, $depth, $args );
        }
    }
}

Create the menu

Now create your usual menu. Add an item with '-' as title:

Full size image

Call the menu in your template

wp_nav_menu(
    array (
        'menu'            => 'main-menu',
        'container'       => FALSE,
        'container_id'    => FALSE,
        'menu_class'      => '',
        'menu_id'         => FALSE,
        'walker'          => new Wpse38241_Separator_Walker
    )
);

Output

(reformatted for readability)

<ul id="menu-separated" class="">
  <li id="menu-item-92" class="menu-item menu-item-type-custom menu-item-object-custom menu-item-92">
    <a href="https://wordpress.stackexchange.com/questions/38241/nav-menu-separators">Nav menu separators?</a>
  </li>
  <li class="menu_separator">
    <hr>
  </li>
  <li id="menu-item-93" class="menu-item menu-item-type-custom menu-item-object-custom menu-item-93">
    <a href="https://wordpress.stackexchange.com/">wordpress.stackexchange.com</a>
  </li>
</ul>

This works even without JavaScript and CSS.