Este controle é como o ASP NET trata a lista Ordenada (Ordered List) no seu ambiente. Note que só há vantagens de utilizar este componente ASP NET sobre o HTML se for usar 'algo' de especial server side.

O parâmetro BulletStyle define o estilo do indicador(bullet). Pode ser :
1-Circle : Círculo
2-Custom Image : Imagem customizada
3-Disk : Exibido da mesma maneira que o Circle
4-LowerAlpha : Letras a a z
5-LowerRoman : números romanos minúsculos
6-NotSet : Indefinido - Exibido da mesma maneira que o Circle
7-Numbered : Números de 1 a n
8-Square : Quadrados
9-UpperAlpha : Letras de A a Z
10-UpperRoman : Números romanos maiúsculos.

Por padrão caso haja algum problema com este parâmetro será exibido o estilo Circle.

Caso defina o parâmetro BulletStyle para 'Custom Image' deverá definir o parâmetro BulletImageUrl do item que apontará para a imagem a ser exibida como bullet. Caso a imagem não seja encontrada o bullet exibido será o Circle. A mesma imagem será o bullet de todos os itens.

Código dos exemplos acima :
<div >
             <h4>BulletStyle : Circle</h4>
                <div style="margin-left:30%">
                    <asp:BulletedList ID="BulletedList2" runat="server" BulletStyle="Circle">
                        <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                        <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                        <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                    </asp:BulletedList>
                </div>

             <h4>BulletStyle : CustomImage</h4>
            <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList3" runat="server" BulletStyle="CustomImage" BulletImageUrl="../imagens/dimensaoobjeto2.png">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
            </div>

             <h4>BulletStyle : Disc</h4>
            <div style="margin-left:30%">
                <asp:BulletedList ID="Disc" runat="server" BulletStyle="Disc">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
            </div>

             <h4>BulletStyle : LowerAlpha</h4>
            <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList5" runat="server" BulletStyle="LowerAlpha">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
            </div>

             <h4>BulletStyle : LowerRoman</h4>
                <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList6" runat="server" BulletStyle="LowerRoman">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
                </div>

             <h4>BulletStyle : NotSet</h4>
                <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList7" runat="server" BulletStyle="NotSet">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
                </div>

             <h4>BulletStyle : Numbered</h4>
            <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList8" runat="server" BulletStyle="Numbered">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
            </div>

             <h4>BulletStyle : Square</h4>
            <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList9" runat="server" BulletStyle="Square">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
            </div>

             <h4>BulletStyle : UpperAlpha</h4>
            <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList10" runat="server" BulletStyle="UpperAlpha">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
            </div>

             <h4>BulletStyle : UpperRoman</h4>
            <div style="margin-left:30%">
                <asp:BulletedList ID="BulletedList11" runat="server" BulletStyle="UpperRoman">
                    <asp:ListItem Value="http://www.google.com">Google</asp:ListItem>
                    <asp:ListItem Value="http://www.microsoft.com">Microsoft</asp:ListItem>
                    <asp:ListItem Value="http://www.amazon.com">Amazon</asp:ListItem>
                </asp:BulletedList>
            </div>
        </div>