^^^
Only works in the Camera Roll, not in the Albums
Move them out of the folder on your computer that iTunes syncs them from then re-sync.
Totally unnecessary.
Just plug in your phone, go to the "photos" tab, and unselect the folders that you want to remove, and sync. This way you can keep them where they are.
what if you only wanted to remove a few photos and not the whole folder
then those directions above would be necessary
On iPhone, select Camera Roll from Albums (for some reason I can't always do this, it's often obscured by the title "Albums" - HELP someone?). But if you succeed, tap the top right icon that points to your cup of coffee (if you're right-handed). Tap to select the photos you want to delete from the thumbnails and hit the red button bottom right. (It took me months to find this)