Edit in JSFiddle

        var url = window.location;
        $('.menu a[href="'+url+'"],.menu a[href*="#"]').addClass('current');

ul{margin:25px;}
.current{color:red;}

<ul class="menu">
<li><a href="javascript:void(0);">list 01</a></li>
    <li><a href="http://fiddle.jshell.net/kachibito/ZVWUh/6/show/light/">list 02</a></li>
<li><a href="javascript:void(0);">list 03</a></li>
<li><a href="javascript:void(0);">list 04</a></li>
    <li><a href="#foo">#link</a></li>
</ul>


<h1 id="foo">H!</h1>