Go the right corner of the comment and it should pop up a X to delete it.
Yeah, the only thing it won't let me do that to are the comments that I make on other peoples' walls or photos. I don't use it very much, but I just made a questionable comment and then noticed it was in my news feed and had "public" by it. I couldn't delete it and it wouldn't let me change the privacy.
Oh, well. I guess it's time to delete Facebook. This would save me the effort of having to delete 10 messages and friend requests from random guys every day.