go to photos and press edit up on the top right of the screen and then select the album you want to delete. this does not work for camera roll or photo stream. you will have to go into camera roll click on the arrow coming out of the box icon located in the top right hand corner of the screen and then click on all pictures you want to delete.
You can't 'delete' pictures in iTunes, so I'm not sure what you did.
Basically, the workflow should be to 'transfer' all your photos from the iPhone to your photo application on your computer. Them, in iTunes, you select or deselect which photos, albums, etc, you want to Duncan to your device.
WIth iCloud there's one more option which is PhotoStream. It automatically syncs newly taken photos in your iPhone camera roll album to iCloud and your computer photo app. You can disable PhotoStream, but it's not advisable.