Note that deleting characters is a permanent, irreversible operation, so you should not do this unless you are sure you truly never want to use the character again. Note that before you delete a character, you may at least want to salvage gold and/or items it is carrying by transferring them to another character.

Why would you ever want to delete a character? There are two practical reasons. One, since you can only have 18 characters, you may need to delete old characters before you can create new ones. Two, there is a (very) slight improvement in the speed of the game if you have fewer characters rather than more.