Twitter has been a wonderful service, however it lacks a few things in the user interface design department, one of the things being able to delete multiple tweets or direct messages from your account.
If you are one of the people, who frequently delete your direct messages, a bookmarklet called DM Deleter aka DM Whacker could be a real time saver.
The DM Deleter bookmarklet will delete your direct messages when you click on it, in addition to that you can also delete direct messages from a specific user.
To delete direct messages you will have to drag the bookmarklet to your bookmarks bar and load the direct messages page in twitter, once you are ready to delete the direct messages, just click on the bookmarklet and DM Deleter will work its magic.
Important Note: When you delete a message from your Sent mailbox, it will delete it from the recipient’s Inbox. The same applies for messages you have received.