You can delete a Segment individually or as part of a batch delete:
Single Segment delete
Audience > Browse Segment > Segment name > drop down menu in the top right corner of the screen > Delete.
Batch Segment delete
Audience > Browse Segment > check Segments for deletion > Select "Delete x Selected Segments"
Note: If the Segments you wish to delete are currently being used in an Export you must stop the Export before attempting to delete the Segment.