Though we're still searching for a way to delete multiple email messages from the iPhone simultaneously, an enterprising developer has now developed a native third-party application that will allow you to delete individual SMS text messages instead of simply clearing conversations (the iPhone's only option, by default), which will delete all text messages with a given contact.
The interface is still a bit clunky -- messages are organized and labeled by incoming number, not contact name -- and there are some quirks (like the misspelling of the word "Delete"). Still, this third-party app fills a lapse in functionality, and we can only hope for more like it.
The application can be downloaded and installed from the Utilities section in Installer.app. For more information on using Installer.app, see our iPhone Applications guide.