iOS 5 lets you delete individual songs by swiping to the right on the song title in the Music app. Although you can’t do the same thing in the Videos app, I recently discovered you can eliminate space-hogging videos from the device to free up critical space by going to the Settings > General > Usage screen and right-swiping on individual videos.
This will only improve as iCloud matures, but for now it’s a great way to free up space on the device when you don’t have another way to get it off the device. Plus, you can recover music and TV shows you purchased from iTunes Store by going to the Purchased tab in the Music and Videos apps, and you can download all your music (iTunes Store and otherwise) if you subscribe to iTunes Match.