Depends what Kindle you have. On my Kindle 3, I just select the book, press the Left button on the 5-way controller and select Delete. It's very slow if you have many books to delete. I tried to deleting books en masse by connecting to my laptop but annoyingly that didn't work.
From the Home screen scroll down until your chosen book is selected with the thick black line underneath the title.
Move the select button to the right then scroll down the menu to 'delete'.