You'll only save a few hundred MB by doing this, so don't bother unless you absolutely need the space. I had never used Classic, deleted it, then about a week later I needed it. The world works in mysterious ways
Anyway, step by step instructions:
1. Open up your HD
2. Open Desktop (Mac OS 9)
3. Delete everything in there
4. Go back to the root of your HD
5. Delete the Desktop (Mac OS 9) alias
6. Delete System Folder (NOT System!)
7. Delete Applications (Mac OS 9)
8. Delete Documents (assuming you haven't accidentally put important files in there)
This should get rid of it completely.