You can delete a funnel stage by clicking on the trashcan icon on the right hand side.
If the funnel stage is not connected to an integration, and isn't already mapped to campaign results, you should be able to delete it instantly.
You will need to remove an integration before you can delete a funnel stage (simply click on the name of the integration and hit "Disconnect")
You will also need to remove any campaigns dependant on this funnel stage. You can do that in the following way:
Remove the campaigns by deleting from the timeline (this is a useful option if you want to start over with a new/updated funnel)
Remove the result mapping from a campaign (go to the campaign, remove the mapping from that funnel stage and save)