How to delete a preloaded app on my EVO?

Press the "Settings" icon.

Choose "Applications", then "Manage applications".

A list of all installed applications will appear.

Press on the one(s) you want to delete, then press the "Uninstall" button. Then press "Ok".

Note that not all preloaded apps can be uninstalled. For example, preloaded apps on my Motorola Droid that I would like to uninstall, but cannot are:

Amazon MP3
Facebook
Goggles
Latitude
Twitter
YouTube
 
As jaguarskx mentioned, not all preloaded apps can be deleted. Your only option is to root your phone. However, this would likely void your warranty.