Anything sent directly through Facebook Chat or Facebook Messages cannot be deleted before it is read by the recipient. As with a standard email, once it's gone, it's gone. However, wall posts, comments and status updates can be removed before other users have had a chance to read them, though there is no way to guarantee the post hasn't been read.
Facebook Chat and Messages
Facebook's real-time chat system and email-style Messages screen both work together to build up a history of your communications with friends and groups of friends. Any message sent via a Chat window or the Messages pane cannot be recalled. A small tick appears underneath it once the message has been read by its recipient(s).
It is possible to delete individual messages or entire conversation threads from the Messages screen, but this process only affects your Facebook account -- any deleted message is not removed from the recipient's inbox. Messages can be erased by selecting the "Delete messages" or "Delete conversation" option from the "Actions" drop-down menu.
In contrast to private messages, posts or comments that appear on a Facebook timeline (your own or one of your friend's) can be permanently deleted. There's no guarantee that the post hasn't been read by others on Facebook, but the quicker you erase it, the less likely this is. To delete a post on your own timeline, hover over it and choose "Delete" from the "Edit or remove" drop-down menu. For comments you've left around Facebook, the drop-down menu is labelled "Edit or Delete"; for posts you've left on other timelines, there's simply a remove button (the cross symbol).
Other Facebook users may receive notifications of your posts or comments before you've deleted them, depending on how they have configured their notification settings. If the post is removed before they click through on the notification, it will lead to a blank Facebook page explaining that the content has been removed. Bear in mind that email notifications contain the text of posts and comments, so the recipient may have a copy of the content you've posted even after it's removed from Facebook.