It is not recommended to misuse headings in HTML. Although heading content is important, it should not necessarily be represented as a heading element. Your first example is incorrect because a list can only contain li elements, and your second example disrupts the document's outline.
The strong element signifies "strong importance for its contents." You can emphasize this importance by using multiple nested strong elements:
The level of importance of a piece of content increases with each ancestor strong element; multiple strong elements amplify the content's importance.
The HTML5 specification provides an example of such usage:
<p>
<strong>Warning.</strong> This dungeon is dangerous.
<strong>Avoid the ducks.</strong> Take any gold you find.
<strong><strong>Do not take any of the diamonds</strong>,
they are explosive and <strong>will destroy anything within
ten meters.</strong></strong> You have been warned.
</p>
(note that
<strong>Do not take any of the diamonds</strong>
is nested in another
strong element)
This is the correct approach in HTML5.
In relation to your example: if you have a wishlist ordered from least to most important, consider using ol instead of ul as the order holds significance. Here's how a properly structured wishlist might look:
<ol reversed>
<li><!-- least important item --></li>
<li><!-- slightly more important item --></li>
<li><strong><!-- very important item --></strong></li>
<li><strong><!-- even more important item --></strong></li>
<li><strong><strong><!-- most important item --></strong></strong></li>
</ol>
(If the wishlist is not sorted in this manner, use ul and adjust the usage of strong elements accordingly.)
You could further enhance this by incorporating RDFa or Microdata to define semantics using appropriate vocabularies. One potential option could be creating a rating system where each item is assigned a score/rating reflecting its desirability.
An abstract example using Turtle notation:
myWishlistItems:1 ex:hasImportance 0.9
myWishlistItems:2 ex:hasImportance 0.85
myWishlistItems:3 ex:hasImportance 0.7
myWishlistItems:4 ex:hasImportance 0.7
myWishlistItems:5 ex:hasImportance 0.7
myWishlistItems:6 ex:hasImportance 0.2
Alternatively, you can convey semantics directly within the content itself. For instance, you could group items based on their level of importance using HTML elements.
A suggestion would be to utilize a definition list (dl):
<section>
<h1>My wishlist</h1>
<dl>
<dt>MUST HAVE!</dt>
<dd>…</dd>
<dd>…</dd>
<dt>Would be very cool</dt>
<dd>…</dd>
<dd>…</dd>
<dt>I like that, sometimes</dt>
<dd>…</dd>
<dd>…</dd>
</dl>
</section>
or utilizing an ol with nested section elements for grouped headings:
<section>
<h1>My wishlist</h1>
<ol>
<li>
<section>
<h2>MUST HAVE!</h2>
<ul>
<li>…</li>
<li>…</li>
</ul>
</section>
</li>
<li>
<section>
<h2>Would be very cool</h2>
<ul>
<li>…</li>
<li>…</li>
</ul>
</section>
</li>
<li>
<section>
<h2>I like that, sometimes</h2>
<ul>
<li>…</li>
<li>…</li>
</ul>
</section>
</li>
</ol>
</section>