Using the Webform module you can specify some description text for each form-item. Through trial and error I found out, that some HTML is allowed. However I took some time to find out how I can add HTML tags to this set of allowed tags.
Here is how. In your settings.php file override the value for this configuration variable (Original is found in webform.module in line 3164)
$conf['webform_allowed_tags'] = array('a', 'em', 'strong', 'code', 'img', 'ul', 'li');