I'm having the exact same issue, I can't seem to locate "Any" means for deleting a Bookmark although I did find information on Bookmarks that indicates that "Pre-Loaded" bookmarks can NOT be removed.... According to the FAQs. Though it did not indicate how to remove bookmarks that are saved by me.
I've found that deleting much of anything is quite difficult... Though I did find one sure way to remove all but the "Verizon" Bookmarks, though I don't know that I would do it again... You can "Clear" Cookies & your Cache' which dumps all the information, so the bookmarks are not like Favorites that are retained after what would be considered a "clean-up" procedure as with a Windows OS. I found that out to my dismay, and had to go though and locate all the sites again that I wanted to bookmark.
On the whole though I'd like to be able to delete these extraneous bookmarks, I don't think I've ever visited CNN on my desktop... why would I do so on my Mobil? I'd be interested in hearing the solution to this too...
To delete a bookmark - open the bookmark page (menu->bookmarks) do a long press on the bookmark, a menu will come up - scroll down to delete bookmark - it's next to the bottom right before Set as homepage.