To delete files on the Mac, you can simply drag them to the Trash icon in the Dock (or select them and press COMMAND-DELETE). The files aren’t deleted yet, you need to choose Empty Trash in the Finder menu or press COMMAND-SHIFT-DELETE.
The files have not really been deleted, the space on your hard drive has been marked as available to be overwritten. Undelete software could easily recover these files and if the material is confidential, you will want to remove them completely.
In OS X Leopard, Apple added a new option to the finder: Secure Empty Trash. Secure Empty Trash overwrites the files on the hard drive with random non-sense, and then removes them. This will allow you to keep sensitive information private and remove it completely from your hard drive.