According to Apple's support article http://support.apple.com/kb/HT4236
- In iTunes, select the device icon in the Devices list on the left. Click the Photos tab in the resulting window.
- Choose "Sync photos from."
- On a Mac, choose iPhoto or Aperture from the pop-up menu.
- On a Windows PC, choose Photoshop Album or Photoshop Elements from the pop-up menu.
- Choose "Selected albums" and deselect the albums or collections you want to delete.
- Click Apply.
It took me some time to figure this out, but I got it!
1. Photos from the "Camera roll" album can only be deleted from the iphone itself, because they originate from there.
2. To remove other albums from your iphone:
When you plug in your iphone it automatically syncs. Let it happen. Then, staying connected, go to Photos part of the Sync line. If you choose not to sync, itunes gives you the choice of removing photos. Click on that. But don't forget to press "apply" at the bottom of the page to confirm this choice. The moment you do that it will start to sync again, only the photos part. It will sync away your photos. Only the Camera Roll will remain. There you go!