Make it using pure HTML, not JavaScript. If you like JavaScript-powered site maps, add a static alternative in the <NOSCRIPT> tags. It will be visible to search engines, as well as to the Internet users who prefer to turn the scripts off for security reasons.
If you wish to make it in static HTML, it is good to indent entries according to your site's structure: let's say, your home page is Level 1; pages directly linked from it are Level 2 (with a 5-pixel indent), then comes Level 3 pages (with a 10-pixel indent) and so on. Such indents will improve the usability, and you can use CSS to achieve this.
Be sure to include keywords in your site map links. It will happen naturally if your pages are well optimised, as on-page optimisation includes headers; if you've done everything properly, they should already be keyword-rich. Just reproduce the headers of all pages on the site map - and everything is done. Do not, though, include multiple links to the same page with the sole purpose of including slightly different keywords: it is a spammy technique.