To style individual menu items differently in a jQuery UI Menu, you can use custom CSS classes:
Using Custom CSS Classes
$(function() {
  $("#menu").menu({
    create: function(event, ui) {
      $(this).find("li").eq(0).addClass("highlight-item"); // First item
      $(this).find("li").eq(2).addClass("warning-item");  // Third item
    }
  });
});
CSS:
.highlight-item a {
  background-color: #ffeb3b !important;
  color: #333 !important;
  font-weight: bold;
}
.warning-item a {
  background-color: #ff5722 !important;
  color: white !important;
}