Apple has provided a script called "Manage SMTP Servers" that allows you to remove unused SMTP servers from Mail's list. It can be accessed through the Scripts menu under Mail Scripts.
You will need to install Developers Tools first, and go to the Applescripts Folder to install the Scripts Menu in the menu bar to easily access this and all other scripts.
[Editor's note: I think, but I'm not sure, that 10.2 includes the Script Menu in the AppleScript folder even before you install the Dev Tools. But since both my machines have the Tools installed, I can't say for certain.]
Panther Update: This hint is no longer required in 10.3; thanks to Mark S. for pointing out that it is now possible to add, edit, or even remove SMTP servers from the Accounts section of Preferences in Apple Mail.

