Couple of ways to do it.
1) Go to Settings > Manage Applications > click on apps you installed and select uninstall. I may not have the EXACT correct path, but I hope you get the idea.
2) Go back to the Market, click on the application you've already installed, and click on Uninstall.
If it's applications that came with the phone, I don't believe you can. At least, not until there's some sync software.