I don’t know when this happened, but I’ve just noticed that you can delete audio podcasts on the iPhone (and presumably iPod Touch), in addition to any video. Here I’ve chosen to delete an episode of solipsistic NATION:
Same gesture: swipe from left to right over the podcast, then tap the Delete button and the confirmation button.
You can’t delete any other kind of audio, however, only podcasts. Deleting podcasts complements the new feature which allows you to download podcasts from the iPhone/iPod Touch itself. It gives you full management of podcasts without having to use a computer.