hang on. it's not totally obvious but:

iphone 4S current OS

Open photo browser
get into the grid view for the album with the pics you want to get rid of
tap the "share" button - upper right hand corner (box with arrow jumping out)
tap each pic you want to "share"
note the DELETE button at the bottom (next to share, copy, add to buttons)

I don't see a 'delete' button. Only: Share | Copy | Add To

The "Delete" option is only available on the Camera Roll album, if I'm not mistaken... could you be looking at another album?

You can't modify any albums that are on your iOS device as a result of syncing with iTunes, and you can only "Remove" items from any albums you created on the device (the images will still be on your device, just not in that album any longer). This all follows logically if you keep in mind that the Camera Roll album is actually the only place that pictures taken with the device are stored -- every other album just contains synced images or pointers to images actually stored elsewhere. For the time being, all of this also applies to the Photo Stream album (with the exception that you can duplicate an image from your Photo Stream album back to your Camera Roll album).