<li><a href="http://url/">анкор</a></li>

re_url = re.findall('\<li\>\<a href\=\".*\">(.*)\<\/a\>\<\/li\>', page_map)

Traceback (most recent call last):
  File "C:\Python26\ololo.py", line 9, in <module>
    re_url = re.findall('\<li\>\<a href\=\".*\">(.*)\<\/a\>\<\/li\>', page_map)
  File "C:\Python26\lib\re.py", line 177, in findall
    return _compile(pattern, flags).findall(string)
TypeError: expected string or buffer

page_map = urllib2.urlopen(url).readlines()
re_url = re.findall('\<li\>\<a href\=\".*\">(.*)\<\/a\>\<\/li\>', page_map)

page_map = urllib2.urlopen(url).read()
re_url = re.findall('\<li\>\<a href\=\".*\">(.*)\<\/a\>\<\/li\>', page_map)