@Jonathan Sampson's answer, I modified the code to handle table markup containing a element and provide a nice fade effect:
$(document).ready(function(){
$("a.delete").live("click", function(){
/* Better index-calculation from @activa */
var myIndex = $(this).closest("th").prevAll("th").length;
$(this).parents("table").find("tr").each(function(){
$(this).find("td:eq("+myIndex+"), th:eq("+myIndex+")").fadeOut('slow', function() {
$(this).remove();
fixTitles();
});
});
});
});
function fixTitles() {
$("tr:eq(0) td").each(function(a){
$(this).html("Delete Row COL " + (a+1));
});
}