To view a list of places in your place list which aren't being used by any event, select Options > Show unused places from the menu. You can delete any unused place from this list. To return to the complete Place List select the same menu item again.
Note: If you want to delete all unused places at once, use the File Properties list (it will let you view and delete any or all at once).

Review before deleting
Unused means the place is not currently referenced by an event. It may still be a place you entered in preparation for research. Inspect any notes, coordinates, or other information before removing it.
Make a backup before removing several places. Turn off Show unused places after reviewing so that the normal place list is visible again.