I'm toying with a new one, and unlike the one I was using, there aren't any "remove" buttons in the admin / themes area.
Can it not be done from within SMF?
in your admin under configuration go to themes and layouts and then go to theme settings
there should be a red x on the right hand side to remove the theme
that will NOT remove the files from your server, you would also need to do that.
Make sure you already switched to a different theme before deleting it too.
Unlike 2.1, SMF 2.0 doesn't delete the folder like Illori said, and it doesn't switch you to the default theme automatically.