When in your camera roll, Click Edit icon in the upper right hand corner (Looks like a email or share icon of a box with a arrow pointing out). Then select the photos you want to delete and hit the delete button in the bottom right.
I have a iPhone 3gs and I am having the same problem. I have tried everything and simply can NOT delete pictures that are in an album and NOT in my camera roll. These pictures were from an incorrect phone swap I did. I didn't back up the phone when I switched it I just used iTunes to sync the new phone... I assume this error is the cause of my problems. Any other ideas?