You could use if statements and use CSS to style the "current" class:
CODE
<ul>
<li><a<?php if($page == 'link-1') echo ' class="current"'; ?> href="#">Link 1</a></li>
<li><a<?php if($page == 'link-2') echo ' class="current"'; ?> href="#">Link 2</a></li>
<li><a<?php if($page == 'link-3') echo ' class="current"'; ?> href="#">Link 3</a></li>
</ul>
Of course, you'll just need to define what the variable $page is. If you have links like yoursite.com/link-1.php, you can get the file name and use that:
CODE
<?php
$page = $_SERVER['SCRIPT_FILENAME'];
$page = explode('.php', $page);
$page = $page[0];
?>
In this case, going to yoursite.com/link-1.php, $page is link-1.