Probably not the right forum for this question....
In any case, yes, it's safer and more hygienic, so to speak, to delete things in OS X than it was under OS 9. Most applications in OS X--that is, those visible from the Finder--are actually folders containing everything the application needs: images, icons, the executable, etc. You can delete almost everything associated with a given application simply by dragging the application bundle (i.e., the item visible in the Finder) to the Trash. What does remain are the preferences, which are found in your home directory > Library > Preferences. These are easily deleted.
There are very few people out there who know what every file on a Unix-based system does. I certainly don't. Apple has done a very good job hiding all of that stuff, and makes it unnecessary for the average user to understand what's going on behind the Aqua. I get the feeling you like knowing. In that case, you should do a google search for "Unix tutorial," or something along those lines. This will give you the opportunity to start understanding how OS X works, and allow you to delve into the command line with some grasp of the workings, as opposed to following meaningless step-by-step instructions. I appreciate your sense that you've lost control over the system. Rest assured, though, that things are in good hands, and that you don't really want complete control over everything that a Unix system is doing. Unix is arranged in such a way as to prevent any rogue or corrupted service from taking down the whole system, and to accomplish this, it spreads things out across a large number of configuration files and small executables, or daemons, each largely unaware of the others. OS 9 and earlier were monolithic in nature, with large executables encompassing lots of services, with the consequence of instability. You could have the omnipotence you got with previous Mac OSes by logging in as root, but it's very unwise to do so: the risks far outweigh the benefits.
I'm sure you've heard this all before, and probably don't like it now any more than your did earlier.
I expect you used fink to install the Xwindows stuff. If you used the defaults, fink installed in the /sw directory, which you can delete from the Finder or from the command line. If, for any reason, you can't delete it from the Finder, go to the command line and type:
<font face = "courier">sudo rm -rf /sw</font>
It will ask for your password before proceeding. Be very careful to type precisely what I've provided above. The actual Xwindows stuff is in /usr/X11R6. which you can delete from the command line in the same manner as above:
<font face = "courier">sudo rm -rf /usr/X11R6</font>
Good luck.