I see this question with some frequency, leading me to believe that there are a lot of people on MySpace who forget that comments are actually pretty permanent, not just some ephemeral snippet like a line in an IM chat.
Here's the bad news: no, once you actually leave a comment on someone else's MySpace profile, it's no longer yours to control and you cannot delete it. They can, of course, but you cannot.
This is analogous to you leaving a comment on this blog entry: up until the moment when you click on the "submit" button, they're your words and you can edit to your heart's content and even decide to leave the page and go somewhere else on the Web, without ever having left a single thought here or any other virtual digital footprint.
Once you click the button, however, ownership transfers to me as the site owner and I then have control over whether it's shown, over the words, even whether the link back to your site or not.
In both cases it's like sending a letter to the editor of your local newspaper: once it's in the mailbox, it's out of your control and the editor might opt to edit it, run it as-is or delete it, all without giving you a call or otherwise checking with you.
I hope the comments you have left on the other MySpace profiles aren't embarrassing or problematic, but unfortunately there's nothing you can do about 'em at this point.
UPDATE: It turns out that I was wrong and you can indeed delete comments that you have left on other people's MySpace Profiles. How about that? :-) I document exactly how to do so here:
Delete MySpace Comments On Other Profiles. Sorry for any confusion this may have caused.
If you aren't sure how to delete comments on your own profile, please check: How do delete MySpace comments. Also, while I'm at it, I have a lot of additional MySpace Help here, and you can also become my friend by checking out my MySpace profile.
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Please note that the statement you made up above is incorrect. You can delete comments that you have made on other friends pages. You have to go to their page while you are signed in, go to "view all comments" and there is where it gives you the option to delete previously posted comments. Just so you know.