If you have your iPod set to automatically sync with your iTunes library, then just right-click the song you wish to remove and click "delete" (and click "move to recycling bin" after). Of it goes into cyberspace. If you don't want to permanently delete songs from iPhone, then uncheck it.
If you have your iPod set to manually manage your music, then you will need to plug your iPod into your computer. Then click "Music" under the iPod icon on iTunes (there may be an arrow hiding all the divisions of your iPod, but click it so it faces downwards). When all your songs are displayed, do the same thing I said above. It will no longer be on your iPod, but it will still be on your iTunes.
Re: How do I delete a song from a playlist while on my iPhone?