Where do they show on your iPhone? Only in the albums you synced? Or have you added them to the Camera Roll and your Photo Stream? Then you need to delete them from the Camera Roll and any (Shared) PhotoStream.
However, you cannot delete them from the synced albums on your iPhone, only by removing them from the albums on your computer and syncing again in iTunes, see: Delete photos
Did you sync an iPhoto Library or Aperture library from a Mac or a folder from Windows? Then it might help to delete the iPod Photo Cache folder: See this support article: