Sure, you can simply hit the delete key in Mail.app to send a
message to the Trash, then empty the trash or go in and manually delete the message again to remove it for good. Or,
you could use a simple, handy little tip that MacOSXHints tracked down to
immediately and permanently delete any message from any folder in Mail.app. You simply need to use the cut command
(cmd-x) on any number of messages to permanently remove them from Mail, no Trash middle-man required.
Of course, a mild word of caution might be needed here: bypassing the Trash means you're bypassing the trash. That message is gone for good if you use this command, so use it wisely, young Mail.app padawan.
[via Hawk Wings]