$("#wizard li").click(function () {
    console.log( $(this).index() );
});

However rather than attaching one click handler for each list item it is better (performance wise) to use delegate which would look like this:

$("#wizard").delegate('li', 'click', function () {
    console.log( $(this).index() );
});

In jQuery 1.7+, you should use on. The below example binds the event to the #wizard element, working like a delegate event:

$("#wizard").on("click", "li", function() {
    console.log( $(this).index() );
});

something like:

$("ul#wizard li").click(function () {
  var index = $("ul#wizard li").index(this);
  alert("index is: " + index)
});

There's no need to require a big library like jQuery to accomplish this, if you don't want to. To achieve this with built-in DOM manipulation, get a collection of the li siblings in an array, and on click, check the indexOf the clicked element in that array.

const lis = [...document.querySelectorAll('#wizard > li')];
lis.forEach((li) => {
  li.addEventListener('click', () => {
    const index = lis.indexOf(li);
    console.log(index);
  });
});

<ul id="wizard">
    <li>Step 1</li>
    <li>Step 2</li>
</ul>

Or, with event delegation:

const lis = [...document.querySelectorAll('#wizard li')];
document.querySelector('#wizard').addEventListener('click', ({ target }) => {
  // Make sure the clicked element is a <li> which is a child of wizard:
  if (!target.matches('#wizard > li')) return;
  
  const index = lis.indexOf(target);
  console.log(index);
});

<ul id="wizard">
    <li>Step 1</li>
    <li>Step 2</li>
</ul>

Or, if the child elements may change dynamically (like with a todo list), then you'll have to construct the array of lis on every click, rather than beforehand:

const wizard = document.querySelector('#wizard');
wizard.addEventListener('click', ({ target }) => {
  // Make sure the clicked element is a <li>
  if (!target.matches('li')) return;
  
  const lis = [...wizard.children];
  const index = lis.indexOf(target);
  console.log(index);
});

<ul id="wizard">
    <li>Step 1</li>
    <li>Step 2</li>
</ul>