Can't delete files off my WD external hard drive...?

If the external drive is in NTFS format, as it may be if it's previously been used with Windows machines, your Mac can't write anything to it or delete anything from it without a freeware third-party driver, NTFS-3G. It's worth installing NTFS-3G if you must keep the drive in NTFS format. If you don't need to do that, reformatting the drive in Mac OS Extended format with Disk Utility will make it more compatible with Mac backup software than if it's left in NTFS format.

For the sake of simplicity, it's usually better to keep backups of Windows computers and Macs on separate drives.

Boot in safe mode (holding the shift key), and then attach the hard drive.
Follow the tips here*:

http://www.macmaps.com/diskfull.html

- * Links to my pages may give me compensation.

NTFS can also be written to with:

http://www.paragon-software.com/home/hfs-windows/index.html
http://www.paragon-software.com/home/ntfs-mac/
http://code.google.com/p/macfuse/

Although if it was formerly a backup to a Mac, and none of these software was used in the past, it is unlikely the drive was formatted in NTFS unless that happened from a Windows machine after the last Mac backup.

Message was edited by: a brody

In that case, maybe some of the files really are locked. Drag them to the Trash, then hold down the Option key while emptying the Trash.

Are you wanting to delete the entire drive?

Open Disk Utility in Applications -> Utilities, and select the drive from there.
Then select Erase.

This will take much less time.