http://jsfiddle.net/LwLBx/

index.html

<ul id="top-menu">
  <li class="active">
    <a href="#">Top</a>
  </li>
  <li>
    <a href="#foo">Foo</a>
  </li>
  <li>
    <a href="#bar">Bar</a>
  </li>
  <li>
    <a href="#baz">Baz</a>
  </li>
</ul>

<a id="foo">Foo</a>


<a id="bar">Bar</a>


<a id="baz">Baz</a>

script.js

// Cache selectors
var lastId,
    topMenu = $("#top-menu"),
    topMenuHeight = topMenu.outerHeight()+15,
    // All list items
    menuItems = topMenu.find("a"),
    // Anchors corresponding to menu items
    scrollItems = menuItems.map(function(){
      var item = $($(this).attr("href"));
      if (item.length) { return item; }
    });

// Bind click handler to menu items
// so we can get a fancy scroll animation
menuItems.click(function(e){
  var href = $(this).attr("href"),
      offsetTop = href === "#" ? 0 : $(href).offset().top-topMenuHeight+1;
  $('html, body').stop().animate({ 
      scrollTop: offsetTop
  }, 300);
  e.preventDefault();
});

// Bind to scroll
$(window).scroll(function(){
   // Get container scroll position
   var fromTop = $(this).scrollTop()+topMenuHeight;
   
   // Get id of current scroll item
   var cur = scrollItems.map(function(){
     if ($(this).offset().top < fromTop)
       return this;
   });
   // Get the id of the current element
   cur = cur[cur.length-1];
   var id = cur && cur.length ? cur[0].id : "";
   
   if (lastId !== id) {
       lastId = id;
       // Set/remove active class
       menuItems
         .parent().removeClass("active")
         .end().filter("[href=#"+id+"]").parent().addClass("active");
   }                   
});

style.css

body {
    height: 6000px;
    font-family: Helvetica, Arial;
}

#top-menu {
    position: fixed;
    z-index: 1;
    background: white;
    left: 0;
    right: 0;
    top: 0;
}

#top-menu li {
    float: left;
}

#top-menu a {
    display: block;
    padding: 5px 25px 7px 25px;
    -webkit-transition: 1s all ease;
    -moz-transition: 1s all ease;
    transition: 1s all ease;
    border-top: 3px solid white;
    color: #666;
    text-decoration: none;
}

#top-menu a:hover {
    color: #000;
}

#top-menu li.active a {
    border-top: 3px solid #333;
    color: #333;
    font-weight: bold;
}

#foo {
    position: absolute;
    top: 400px;
}

#bar {
    position: absolute;
    top: 800px;
}

#baz {
    position: absolute;
    top: 1200px;
}