Certainly, you can remove a person from your friends list by following one of their links to their home page and scrolling down to the bottom of the left column and clicking “Remove From Friends”; but they could take it personally. There are other things you can do if you simply want to remove their wall posts from your wall feed.
Hover just the the right of a friends post and a menu item will appear that will allow you to hide that friend from your wall feed. The Hide command may only appear in certain browsers. It appeared in IE for me but not FireFox.
An even better method is to create a “Favorites” list and to select it as your feed source or move it to the top of the list of groups. You may have to select “More” at the bottom of your groups in order to be able to drag and drop to reorder each item in the list.