Depends on a lot of things, like whether it's in the videos app, or the iPad app. Here are some general things to try.
If there is an Edit button on the page, tap it. You should then be able to select stuff and then tap a Delete button.
If it looks like an album cover (square picture) tap and hold. An X should show up in the left top corner. Tap to delete. A popup menu is also possible, with a delete option (though I don't think that happens in either the iPod or Videos app.
If you are in a list like view, then swipe across the title from right to left (like you were crossing it out). A Delete button should appear for that title. Sometimes the direction of the swipe does not matter.
These are general ways of deleting stuff on the iPad, and worth trying in almost any app.