You can delete episodes from the Videos app by swiping from right-to-left across them on the episode selection screen, or to delete an entire series by the Edit button top right on the TV programme selection screen. Or you can do it via Settings > General > Usage > Manage Storage > Videos.
Before deleting them, and if you haven't already got a copy, you may want to copy them over to your computer's iTunes library via File > Devices > Transfer Purchases so that you can take a back copy of them. The rights-holder could remove them from the store at any time, if they do you won't be able to redownload them.