I just found the following hint on macosxhints.com
Blast that forward-delete key (just below the Help key on a standard Mac keyboard)! It just keeps inputting a ‘~’ when pressed, instead of deleting the next character. Luckily, there is an easy solution. In clean OS X apps, including Terminal, Control-Option-D does what we want the forward-delete key to do.
So go to Terminal’s Terminal menu, pick Window Settings, and then choose “Keyboard” in the pop-up menu. Double-click on the ‘del (forward delete)’ key, and in the sheet that pops open, activate the input box just below “Action.” Type Control-Option-D, and you should see ’04’ in the box. Click OK, close the Terminal Inpsector window, and you should now have a working forward-delete key. Yay!