To find the HTML of the inner <li> have this:
var str = "<div>hello</div><ul><li>Some text...</li><li>second item</li></ul>";
var myText = $(str).find("li").html();
(Note that this will give you the inner HTML of the first list item only)
Live test case.
Edit: looks like that for more "complex" things you have to add the HTML to the actual DOM for jQuery to be able to parse it correctly.
To do that, add "dummy" container to the document:
<div id="DummyContainer"></div>
Then have such code instead:
var str = '<div>hello</div><ul><li>Some text...</li><li>second item</li></ul><input type="hidden" name="some_int" value="15" />';
var container = $("#DummyContainer");
container.hide().html(str);
var myVal = container.find("input").val();
alert(myVal);
Updated jsFiddle.
$(str + 'li')would result in$('<li>Some text...</li>li').... not sure what you wanted to accomplish with that. Either you pass HTML and let it parse by jQuery, or a selector (which seems what you wanted to do), but not both.