Creating an exposed filter on a view as a list with taxonomy terms
Better Exposed Filters would be helpful for that.  It allows you to replace the select/autocomplete with normal anchors that can be styled however you prefer.

After installing and enabling BEF, add your exposed filter and save it (you only have the standard options at this point).  Then, go to the views advanced settings and change "Exposed form style" to Better Exposed Filters.  Then you will have a BEF Settings option, this is where you will see the options below.

Advanced settings:



This is the setting you're looking for: