Update 2009-11-23: Corrected Mac keyboard keys.  I don’t own a Mac myself, but a friend of mine tells me that iTunes defies the normal behaviour of many other Apple applications. Probably because it’s ancient and desperately needs an update.

Made a smart playlist to find songs you want to delete, then found that the delete function no longer works?

Just hold Shift. Or Option.

Pressing Shift+Delete on Windows or Option+Delete on Mac will give you a prompt to delete songs just like any other delete operation performed in the library.

Holding Shift on Windows or Option on Mac and right-clicking on one or more songs will show “Delete” in the context menu.

As an aside, this shortcut also allows you to delete songs from static playlists as well.