Better to use CSS to change a property like margin, padding or line-height for the list item in the sidebar... The "heading" of a list of pages, for example, is the h2 element (assuming the default here, you can control this with the title_li param for wp_list_pages(); )INSIDE an <li> tag in an unordered list
<ul> which you CAN apply an id or class to, so a style rule like:
li h2 {
padding-bottom:1em;
}
would affect the space below the heading. If you want to add space BELOW a list of pages or categories, adjust the rule that applies to the list itself (</ul>) as in:
ul {
padding-bottom:30px;
}
It helps to understand CSS and honestly, the above is TOO generic. I'd add a class to the tag (eg. ul class="pagelist") and define the style's bottom padding there.
Between the list item, define bottom padding or line-height for li.cat_item or li.page_item... it depends on what type of list.
What I wouldn't do is use line breaks <br /> (which is what you would use for xhtml, not <br /> and not </br>. Nor would I use paragraph tags when not using paragraphical content. Remember, html elements should be semantically correct.
If you can point to a site with the examples in mind, a person could be more specific about how to get what you want.
HTH