Drop-down lists in Excel allow you to limit data entries in a cell to a finite number of options. If you click on a cell with a drop-down list and press the "Delete" key, you will remove the data in the cell, but the drop-down list and its options will remain. Use the Data Validation dialog box to delete a drop-down list itself.
Open your Excel spreadsheet and click on the cell that has the drop-down list that you want to delete. Alternatively, click and drag your mouse, or hold down "Ctrl" and click several individual cells to select multiple cells at once. With these cells selected, click the "Data" tab on the Ribbon and then click the "Data Validation" option in the Data Tools section to open a dialog window. Click the "Clear All" button to delete the drop-down lists from the cells you've highlighted.
Removing a drop-down list from a cell will not delete the data in the cell. After you've removed the drop-down list, any data that was in the cell persists.