My answer is an extension to what Fran said.
Ran into this as well. You can store simple html tags in title. Instead of just calling tooltip, you now have to do some more work. You have to return your html coded title. I have tested this with bold < b>, underline < u> and breakline < /br>.
$( document ).tooltip( {
content: function() {
return $( this ).attr( "title" );
}
});