How to remove  tags when printing out Menu
Sure, it's pretty easy. But first I think you need to know what's going on here.  

Drupal's theme() call above is going to look for a theme_links__system_main_menu() function/hook and failing that, will look for a theme_links() function/hook.

theme_links() is in drupal core in includes/theme.inc if you want to take a look at it, as that's "who" is putting the ULs and LIs in there.  DONT just edit that file/function/hook, but create your own in your theme.  So, to take them out, or to put whatever you want in, you just write your own theme function to do it, and then theme() above will call it for you. 

Drupal's theme layer is described well here:  http://api.drupal.org/api/drupal/includes--theme.inc/function/theme/7 and here: http://drupal.org/theme-guide/6-7 and should put you on the path to doing all that.