Instead of deleting invalid or unusable leads, the Archive action hides them from your queue but keeps them in the database, so we can detect and warn if they are ever imported again. This is useful when leads are invalid, e.g. the phone number doesn't work, the company does not exist anymore etc.
Using the Archive action instead of deleting a lead lets you measure the quality of the lead data (reports will show number of archived leads), as well as keep the leads for duplicate detection later, if they are imported again as part of another list.
Do not use the Archive action for Lost leads that you were able to reach. If you need to differ between different kinds of lost leads, you can add categories to the Loser action. That way you can differ between leads you never want to call again or those that you only regard lost for e.g. the next 6 months.
If you really want to delete one or more leads, you can first archive them (optionally by category), then move them to a new list using the migration tool and then delete that new list entirely, since leads will be deleted when the list they belong to is deleted.