As a rule, you can delete a label by finding the relevant list and label under Settings > Lists and then clicking the trash can icon to the right of that label:
The label will then no longer be visible in the list or in the drop-down menu on documents in the overview.
Exceptions
The list of payment methods for receipts can't be edited, so the labels in it can't be deleted. The trash can icon is not shown on this list either.
Other lists, such as categories or projects and cost numbers, that are used in an integration can be edited, but because categories, projects and cost numbers are updated automatically by the integration once an hour, a deleted label is automatically created again the next time the integration updates.