On emails, I think the answer is you can't. And acutally its not SE fault for once!!! I believe (correct me if I have my facts wrong) that its an android thing. I asked ages ago, can't remember if it was here, xda or SE's own forum. No-one could come up with an app that can do it too. So if anyone has figured this out or found that elusive app I'd be really glad to hear about it too. My thumb is growing its own set of biceps from sitting there hitting the delete button!!
I use Handcent SMS and you can batch delete on that, don't think you can on stock app.