Useful for completely replacing the markup in the <li></li> on an individual element, useful for doing things like adding a logo in the middle of a menu.

WP: Change Individual Menu Item Markup

// Replace Menu Item HTML Based on Attribute Title
function zf_replace_menu_item_html($item_output, $args) {

    // Change 'main-logo' to match menu items Attribute Title
	if($args->attr_title === 'main-logo') {
		$item_output = '<div><!-- Your HTML Here --></div>';
	}

	return $item_output;
}
add_filter( 'walker_nav_menu_start_el', 'zf_replace_menu_item_html', 10, 2 );