Traditionally, sidebars were implemented as lists. Each sidebar “box” is an LI, so the sidebar as a whole would need to be inside a UL tag.
However, this is entirely a choice on the part of the theme author. The register_sidebar call can override the before_widget and after_widget parameters to be divs or anything else that the theme like, really. The default is list items (LI), because that’s just the way themes are often implemented.
A list kind of makes sense, pre-HTML-5, because it’s a bunch of widgets in boxes and the CSS to organize them is fairly easy and unlikely to conflict with other stuff on the page. Also, before we had things like section and article and aside, then putting divs inside other divs over and over repeatedly is unpleasant and weird.
In more modern HTML5 usage, one would be more likely to make the widgets into DIVs and to wrap them in an ASIDE area. It would be slightly more semantically correct.
There is no advantage or disadvantage to using UL’s over DIV’s. There may be a slight advantage to using ASIDE wrappers, as long as your document is structured properly.