For the most part, just drag the application to the trash. Some applications come with uninstallers under "options" on the installer.
The reason for this is that in Mac OS X most associated files are kept in the application package itself. If you choose any app then "control-click" on it, you can choose "Show package contents" from the contextual menu and you will see all the associated items.
You can also do a Finder or Spotlight search for any other items but they will probably only be prefs which will do no harm and don't take up much room.
These are ususally just plist files in yourHome/Library/Preferences . Also some apps will install files in yourhome/Library/Application Support.
Note: Some apps may also put a file in /library/startup items or SystemPreferences >> Accounts >> Login items.
(So, it worth a look here too)
-mj
macjack@gmail.com