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Delete them from the folder you have on your computer (the one you tell iTunes to put on your phone) and re-sync your phone.... presto, photos gone.
 
Sync your phone and uncheck the folder that has those photos to just delete from phone, or to delete the photos all together you would delete them from your computer.
 
I am glad the OP asked this question.

I found it odd that Apple would not let you delete photos from your phone unless they are in the camera roll. Very annoying. Anyone think they will change this?
 
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