SolidWorks 2011 SP4.0 is available for download
This service pack is now available to Subscription Service customers. To download, click here or log into the SolidWorks Customer Portal at https://customerportal.solidworks.com and click Download Software and Updates to access the update.
For a listing of SPR’s fixed in this Service Pack, click here..
P.S: Login required for access. Full access requires an active Subscription Service contract.
Boxer's SOLIDWORKS™ Blog 
Thanks Deepak … the Delete key works for all other functions, including deleting other things besides annotations and dimensions (i.e., I can delete an entire view, which I’m having to do if the annotations get messed up). The Delete choice in the right click menu appears everywhere else except for annotations and dimensions. It is not part of the expanded menu and I’m unable to add that choice using Customize Menu (“Delete” does not appear in the list of choices which may be selected or unselected). A user on the SolidWorks Corp forum where I also posted this suggested that it may have to do with a “Lock View Focus” choice. Unfortunately, this is also not the case.
Yes you’re right, the Delete option is not on the RMB menu for annotations and dimensions but Delete key works for me. Can you send a sample drawing to me by email so that I may try to look out for any option that might have checked/unchecked causing this issue. I have sent you an test email.
P.S. You may remove any confidential information from the drawing and don’t forgot to include the part.
After installing SP4 I can no longer delete annotations and dimensions in Drawings. Not only does the Delete key not work, but the Delete option is missing from the flyout menu if you right-click on an annotation or a dimension. This is a fair bit worse than inconvenient, and in my book is cause to avoid this service pack like the plague.
Mark , check this thread to set your Delete key on the keyboard (in case if it had been broken): Delete Key is Dead: Fixing Delete Key
And for the right click menu, can you see Delete option if you expand the menu. If not then click on customize menu and check if Delete option is selected or not.