Actually, there's a better way to do that -- and actually the way it should be done.
First, though, you should know what those options are and why they're there.
One of the options you're seeing for Ubuntu is the actual Ubuntu entry to log in normally.
You may also see one that says "memtest". This is used to check your system memory for problems. You don't generally have to use this much.
You may also see one that says "recovery console". This is the "OMG, I screwed up and can't start Ubuntu to fix why I can't start Ubuntu" option. This is the uber-user console that gives you a lot of power to repair your system if the shift hits the fan. You may want to keep this in case something really bad happens.
Finally, you may see one or more menu items that are identical to the normal Ubuntu login entry, but with a slightly different string of numbers. By default, you get another one of these every time the kernel is updated. The old entries are left there in case the new kernel causes problems and you need to continue using the older kernel. This is rare, but has been known to happen.
Anyway, to change what you see at the GRUB menu, you should edit the "/boot/grub/menu.lst" file as JECHO said, using "gksu gedit /boot/grub/menu.lst". However, rather than deleting the entries, you should edit the options. The GRUB menu is occasionally automatically updated (such as when the kernel is updated), and the options are used to create the new menu. If you just edit the menu itself, when the GRUB menu is automatically updated you'll get the same stuff all over again.
To remove the memtest and recovery items (which I do not recommend), look for the following section and change "true" to "false" on the bottom line.
To control how many old kernels are listed, look for the following section and change the number on the bottom line.
## should update-grub create alternative automagic boot options
## e.g. alternative=true
If you want to just remove the memtest item but leave the recovery mode, look for the following section and change "true" to "false".
## controls how many kernels should be put into the menu.lst
## only counts the first occurence of a kernel, not the
## alternative kernel options
## e.g. howmany=all
If your computer is located somewhere other people can gain physical access to it, such as in a dorm room, you may want to password-protect the alternate options (particularly recovery mode). Look for the following section and add the line in italics, replacing "yourpassword" with whatever you want.
## should update-grub create memtest86 boot option
## e.g. memtest86=true
You also have to find the following section and change "false" to "true".
## password ['--md5'] passwd
# If used in the first section of a menu file, disable all interactive editing
# control (menu entry editor and command-line) and entries protected by the
# command 'lock'
# e.g. password topsecret
Once you're done making the changes you want, save and exit. Now, in the terminal, enter the command "sudo update-grub". This will make the appropriate changes to the GRUB menu based on the options you set. And those changes will remain even when a software update causes the GRUB menu to be updated.
# should update-grub lock alternative automagic boot options
## e.g. lockalternative=true