You can delete Pens from your profile page. While logged in, go to the “Your Profile” link from the dropdown in the upper right. When hovering over any particular Pen, you’ll see an menu icon appear in the upper right corner. Hover over that and a menu will appear. “Delete This Pen” is one of the options.
The Pen will be deleted immediately. In case it was an accident, you have the opportunity to Undo the deletion. If you leave the page or delete another Pen, the first will be deleted forever.