There are two ways you can delete a Pen. You can delete it from the grid view of your profile, or from the editor view of your Pen. Keep in mind that once you delete a Pen, it's gone for good! Make sure to Export it first if you want to keep a copy of the code.
From Your Profile
You can delete Pens from your any of the Pens pages in your profile by hovering over the Pen and clicking the "Delete" button.
From the Editor View
You can also delete a Pen from the Editor View. Click the "Delete" button at the bottom of the editor window to delete your Pen.