I had an issue with the sidebar of my OSX Finder window in Snow Leopard. Even though the old folders were there (and later removed) some shortcuts I had created wouldn’t go away.
Command-clicking and trying to remove it wouldn’t work, and dragging it away wouldn’t either. I finally got annoyed by them being there, so I started googling around a bit.
I found this discussion on the official Apple Support Community which led me to Command-Click and Dragging the items into the trash.
This fixed it and bam, they were gone!