UPDATE 2021
My original answer was from 2012 when many of the Level 3 CSS Selectors did not exist. To achieve this we would need JS or other explicit CSS styles/classes to achieve it. As @AlphaX has pointed out the best solution now is simply
li.menu-item:not(:last-child) {
margin-bottom: 3px;
}
OLD ANSWER
add:
margin: 0 0 3px 0;
to your #access li and move
background: #0f84e8; /* Show a solid color for older browsers */
to the #access a and take out the border-bottom. Then it will work
Here: http://jsfiddle.net/bpmKW/4/