The syntax looks okay.

Are you using Firebug to verify that #favorites (which appears to be a
mysterious <li> somewhere) is actually being loaded as you expect?
Does it actually contain the <li> tags you show above?

Also, you might want to eliminate #favorites altogether by taking a
page from jQuery's load implmentation like this:

$("<div/>").load(favoritesHTML).html().appendTo(".menu1");

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