I would suggest using enumitem to help format lists. It provides an interface that makes changing the format easier.
For very compact lists, you can use the [nosep] option. This would make the spacing between individual items exactly the same as the spacing between lines in a running paragraph.
If for some reason you want the list to be even more compact, you can start playing with the value of \baselineskip. But I wouldn't recommend it as the output will be visually much more cramped than surrounding text, as you are basically overprinting. (In your picture, the descender on a g will overlap the ascender on an l from the line below.)
\documentclass{article}
\usepackage{enumitem}
\begin{document}
To remove all inter-item spacing:
\begin{itemize}[nosep]
\item item 1
\item item 2
\item item 3
\item item 4.
\item long long long long long long long long long long long long long long long long long long long long long long long long long long long item 5.
\item item 6.
\end{itemize}
If the spacing between items are still too large, and you want it to be more compact then regular running text, you can also reduce baselineskip. But this makes text hard to read.
\begin{itemize}[nosep]
\setlength{\baselineskip}{10pt}
\item item 1
\item item 2
\item item 3
\item item 4.
\item long long long long long long long long long long long long long long long long long long long long long long long long long long long item 5.
\item item 6.
\end{itemize}
\end{document}
