Hi @dmcohen
In order to function, WordPress always needs to have a theme active. Therefore one cannot remove the currently active theme.
If you want to delete your current theme, then first activate another one. (You may need to install one first.) If you want a theme that is maintained by the same volunteers that make WordPress itself, then use any of the “default” themes “twentyeleven”, “twentytwelve” … “twentytwentyone”.
You can delete a theme that is not active by hovering over the theme in the theme list and click on “Theme details”. In the pop-up that appears, there will be a link at the bottom to remove the theme files.
Alternatively, if you have access to your server’s file system (for instance via a file manager from your web host or via FTP), then you can simply delete the directory of the theme and all its files. They’ll normally be located under /wp-content/themes/.