When you delete an item from your collection, it's deleted from your Zune the next time you sync.
You can also choose items to delete from your Zune but keep in your collection. When you sync, these items are merely skipped. Even if you've selected to sync all your music (or pictures, or videos, or podcasts), skipped items won't sync again unless you drag them to the device icon.
Delete items from your Zune
Games can only be deleted from your player, not from your collection. On your Zune, select the game you want to delete, choose uninstall, and press the Zune Pad.
Remember, if your Zune is connected to your computer, sync starts as soon as you make a change in your collection.