I prefer to not have Mail erase messages from the server after it retrieves them, in case I need to access certain emails from remote sites. I used to go to my email provider's webmail to erase the messages I didn't need to keep, but by accident I found how to do this through Mail.
Here is how to get into the Account Info window, which allows you to remove messages from POP (that's all I've tested) servers without removing them from your computer. In Mail's sidebar, click on either Inbox or a specific mailbox nested under Inbox from which you would like to remove messages. Either control-click and choose Get Info from the pop-up menu, or hit Command-I and the Account Info window will come up.
In the Messages on Server tab, you can select individual or multiple messages in the standard way (shift-click to highlight a group, command-click to add or remove individual messages). The 'Remove from Server' button is in the lower right.
I hope this hint can help other people who need to clean out their POP mailboxes but cannot stand their email provider's webmail system. It's been quite the timesaver for me.
[robg adds: We mentioned the Get Info window in this previous hint...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20061014083656580