Lili was born in Glencoe Illinois and grew up in this suburb of Chicago. She attended New Trier High School and acted (perhaps her first serious acting) in a production of The Effect of Gamma Rays on Man-in-the-Moon Marigolds as a Junior in 1984.
Lili attended college at the Goodman Theatre School at DePaul University but left after a year because of a rule requiring her to abstain from taking paying acting jobs while in school.
Lili was a member of Naked Angels in New York City after leaving college. She went on to form her own theater company, Machine Full. She starred in the critically-acclaimed Aven U Boys at the American Place Theater. Her first time directing was Machine Full's production of Halcyon Days at the Work House Theater. In 1997 she performed in Scott Elliott's production of Three Sisters at the Roundabout Theatre.
Her first movie credit was Mystic Pizza and since then she has been prolific (see timeline below.) She has worked with many great directors including Emir Kusturica, Robert Altman, Nancy Savoca and recently John Waters.
She is active in the 52nd Street Project giving inner city kids a chance to experience theatre first hand.