You didn't say what version you were using, but in SQL 2005 and above, you can use a common table expression with the OVER Clause. It goes a little something like this:
WITH cte AS (
SELECT[foo], [bar],
row_number() OVER(PARTITION BY foo, bar ORDER BY baz) AS [rn]
FROM TABLE
)
DELETE cte WHERE [rn] > 1
Play around with it and see what you get.
(Edit: In an attempt to be helpful, someone edited the ORDER BY
clause within the CTE. To be clear, you can order by anything you want here, it needn't be one of the columns returned by the cte. In fact, a common use-case here is that "foo, bar" are the group identifier and "baz" is some sort of time stamp. In order to keep the latest, you'd do ORDER BY baz desc
)