From http://lifehacker.com/5917787/how-to-delete-a-song-from-your-itunes-library-from-the-playlist-view

How to Delete a Song from Your iTunes Library from the Playlist View

If you find a song in one of your iTunes playlists that you no longer want, you
usually have to go all the way back to the “Music” view and find it inorder to
delete it. This keyboard shortcut saves you the hassle, deleting the item right
from the playlist view.

Ordinarily, pressing the delete key while in a playlist will only prompt you to
remove the song from that playlist. If you want to remove it from yourlibrary
entirely, just press Shift+Delete (on Windows) or Option+Delete (on OS X), and
you’ll get the prompt to remove the song from your libraryentirely. Pretty handy
for us playlist junkies.

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From http://trevinchow.com/blog/2010/01/03/deleting-song-in-itunes-library-from-within-a-playlist/

So when you’re in an iTunes playlist and want to remove the song from the playlist only, use Delete. If you want to remove it from both the playlist AND your iTunes Library, use Shift+Delete !

(There is also another undocumented shortcut – CTRL + SHIFT + Delete which will do the same thing as Shift+Delete except it will add an extra confirmation for sending the file to the recycle bin. Since you already get one prompt using Shift+Delete, there’s no reason for this extra step)