goodroi - 12:55 pm on Feb 1, 2011 (gmt 0)
it depends on the situation. if you don't care and have no link juice to lose or worried about your crawl budget then you can 404 it. this also assumes you dont care about a possibly flooding your 404 log file with new entries. if you are in this situation where you have nothing to lose i doubt you would be visiting WebmasterWorld.
when a page of mine no longer exists, i would:
1) make sure all of my internal links pointing to it are changed to another url or deleted.
2) contact all external sites linking to it and ask them to change the link to another one of my urls
3) add a 301 redirect to take care of any external links that couldnt be updated
4) make sure the url is not blocked by robots.txt or a noindex tag so google sees the 301 redirect
5) sit back and wait for googlebot to crawl the page and notice that it went bye-bye.