Having longer items in a bullet or numbered list

I've had a few emails recently asking how to do this - creating a list like this:

• first item
  continues here
  and here


• second item


• third item
  another long one

where each item in the list can be longer than a single line.

I've added my answer to the FAQ. If you have any suggestions for a better way to do it, please let me know in the comments!