You can only delete the photos you have posted, not all of the photos you may appear in that others have posted (see more info below):
- Go to your Facebook profile page by clicking on your name or FB icon.
- Click on Photos link (below your name), you will see all of the Albums you have created.
- Click on the Album which contains the photo(s) you wish to delete.
- Click Edit Album link just below the Album name. It will say something like: "By John... (Albums) • Updated about 2 months ago • Taken at Brooklyn, NY • Edit Album"
- In the Edit Album pop-up box that appears - in the lower left corner click "Edit photos."
- On the next page you will be able to edit/delete any of the photos or the whole Album.
- Curse FB for making this and everything they do insanely difficult.
Feel free to comment if I have missed anything.