If it's one of the apps that was included with the phone, you can't. If it's an app that you've added you have a couple of choices.
1) Install an app that uninstalls apps - I have Quick Uninstaller.
2) Bring up your list of apps in the Market, click on the app, you'll have an 'uninstall' option.
There are probably more ways to remove apps, those are just ones that I know.
Edit: Dang, OTD is quick - I swear her message wasn't there when I started typing mine...