You can delete an individual Lead from the cancelled button or in bulk from the Leads list.
Only admin users can delete Leads.
You can also delete Leads in bulk. First, use the search filters to narrow down your list, or select individual leads. The "Delete" button is in the bottom right corner of the Lead list:
Note that deleting a lead will completely purge it from reports and pipelines. This should mainly be used for removing test leads or leads created in error. When you want to remove duplicate or unqualified leads, you should use the "Cancelled" status, to better preserve the history. Read more about closing leads.