This sitemap is created by dropdownsitemap extension. It gives you the opportunity to quickly put appealing sitemaps on your page, whose appearance can be completely controlled by CSS.
The plugin creates a list (OL) hence semantically correct code. If you don't like the numbering, just configure it to create ULs (unordered lists).
Certain branches or pages can be hidden, if you don't want them to show up in the sitemap. E.g. this page sitemap doesn't show up, because this would be reference to itself.