Use $(this).text()
instead of (this).text
$('#CategoryList li').css('background','url(http://my_site.com/images/'+ $(this).text() +'.png) no-repeat');
As per my understanding you need
$(function () {
$('#CategoryList li a').each(function () {
$(this).closest('li').css('background', 'url(http://my_site.com/images/' + $(this).text() + '.png) no-repeat');
});
});