If you're a recent convert to Mac OS X, you should acquaint yourself with the Mac Trash Can. This helpful video tutorial from MacMost will help you to develop good file management habits.
The Trash in Mac OS X is a failsafe device to prevent you from accidentally deleting items. But many people use it as a holding place for files that they aren't sure about. Learn how to use the Trash properly so you keep files around that you may need, and delete only the ones you are sure you want to get rid of forever.