There's no option to delete music directly from within the iPhone. (But you can with podcasts).
Connect to iTunes, navigate to music (iPhone's music, not your iTunes library) and delete it from there.
iPhone 4 (4.2.1) – Jailbroken & iPad 2. Using iOS for 4 years. Hate facebook, love last.fm. If you value any advice given in iLounge, come back and say "thanks".. :-)