You can delete them if they are stored in the "Saved Photos" folder, or if you have imported them via the SD card camera adapter kit. DontUnderstandMyIpad is right about the ones you have imported via iTunes - you can only delete those in iTunes.
It's a pretty clumsy system, really. You might want to consider getting one of the photo file manager apps, and if you handle a lot of photos you'll probably find that's the way to go.