I'd go for the 'not quite cave-man' approach - though still a bit manual...

• Launch Image Capture.

• Plug in iDevice

• Select any/all photos you wish to delete

• The Delete button is at the bottom of the window [the 'no-entry' sign]

After comments - the button is still there in Yosemite.

Update Nov 2015 - the button is still there in El Capitan, though it is now black & white, not red.

Picture updated to Image Capture 6.7 after further queries on the button not being there.

Update July 2016, as people are still missing this bit...

If the Delete button doesn't appear, eject & re-plug the phone.

If the photos were put by syncing with iTunes you can't delete them using iPhone.

To delete photos and/or albums that were copied to your iPhone by syncing with your computer are deleted by doing another sync.

• Start iTunes on the computer and connect your phone.
• Select your phone in iTunes and select the Photos tab.
• Then DESELECT the items you no long want on the Phone.
• Then click on Apply or sync.

The photos or albums will be removed from your iPhone but they will remain on your computer.