Or if you only want to delete it from the iPhone and keep a copy on iTunes, hold any icon on the screen till they wobble. On the app you want to remove, click the X in the top corner and it will delete it from the iPhone.
You can also select which apps you want to sync to the iPhone. Connect the phone to itunes and select the applications folder in the main pane. From there just put a check mark next to the apps you want to sync. Any not selected will be removed from the iPhone if there are already on there.