Go into your camera roll. On the top right hand corner there is an icon that looks like a box with an arrow jumpin out of it. Click on that icon it will then give you the option to click on any photo. Click in all photos that you want to delete and it will put a little red check mark on that photo. Then at the bottom right you will see a red box that says delete. Click that delete button and magically it will delete those photos checked.
Aside from what the others have said the normal way is, PhoneView is a dandy app for use with your iPhone. You can do about anything with it, in the way of file management.