toggleClass
is a jQuery method, for use it you must include jQuery in your page.
Like:
<script src="http://code.jquery.com/jquery-1.10.1.min.js"></script>
At the moment if you check the console you must see an error like (demo: http://jsfiddle.net/IrvinDominin/GyaBY/):
ReferenceError: Can't find variable: $
Avoid mixing jQuery and javascript event binding so your code will look like:
$('#nav_list').click(function() {
alert("what");
$(this).toggleClass('active');
});