In order to delete a previously created lead tag, you will need to find all of the contacts that you have assigned the particular tag to.
From the home page, you will need to look to the left of the screen and click in the drop down menu for Tags. Here you will be able to see all of the different Tags that have been saved.
NOTE: By deleting the tag from each contact which has the tag, will NOT remove the tag, from the tag drop down menu.
Now all of the contacts with this tag will show up under My Leads. If not make sure you have selected All Leads from the Display options.
Please repeat these steps for each lead with the tag.