This one had been bugging me for a while. I had a big playlist of dj mix MP3s downloaded from the ‘Net. Hadn’t listened to the vast majority and wanted to nuke ‘em all in one fell swoop. Selecting all and hitting Delete just removed them from the playlist.
Turns out selecting in the playlist and hitting Option-Delete deletes from the iTunes library.
Sanity preserved. Space recovered. Thanks Google. Thanks Mac OS X Hints. Hope this post helps someone else get over this hump.