I recently created two web links using Safari's "Add to Home Screen" and now it seems to be impossible to remove them.
The following has been attempted (from http://www.peachpit.com/articles/article.aspx?p=1395687&seqNum=9):
To remove a Web clip, tap-and-hold for a few seconds on it, until all the icons start to wiggle. You’ll see a little X in the upper-left corner of each Web clip (and app that can be removed). Simply tap the little X and then tap Delete from the dialog that appears. The Web clip will disappear, and your remaining icons will reshuffle. Tap the Home button to stop the icons from wiggling and lock them in place.
That X does not show up on my icons.. I can drag them around, even to other pages, group them in folders and bring them out again, but not delete them.