Once you have completed all of the steps in Event Setup, you can delete any of your events right from your dashboard so long as no one has signed up for that event. Just click the red delete link to the right of your event name.
I don't have a red delete link
This means one of a few of things:
Your event already has registrations. In which case, you cannot delete the event.
Someone else created the event and your account does not have the appropriate permissions to edit it. If you can see a red edit link next to the name of the event, your permissions are fine. If you don't have that link, your account administrator will need to give you access to edit/delete the event.
You haven't saved a complete Event Setup. You'll just need to get your event into Preview Mode first. Here's how:
To do that, go back to your dashboard and click the red edit link next to your event name. (Just like in the photo above).
For each page, scroll down to the bottom and click Save & Continue. Some steps require that you add some particular information before you can continue. Just add some filler info and click Save & Continue.
Once you get to the Confirm page, put the registration in Preview Mode.
Go back to your dashboard and click the red delete link next to the name of your event.