Yes, you should usually respond with a 200 response code as per the W3C spec:
9.7 DELETE
The DELETE method requests that the
origin server delete the resource
identified by the Request-URI. This
method MAY be overridden by human
intervention (or other means) on the
origin server. The client cannot be
guaranteed that the operation has been
carried out, even if the status code
returned from the origin server
indicates that the action has been
completed successfully. However, the
server SHOULD NOT indicate success
unless, at the time the response is
given, it intends to delete the
resource or move it to an inaccessible
location.
A successful response SHOULD be 200
(OK) if the response includes an
entity describing the status, 202
(Accepted) if the action has not yet
been enacted, or 204 (No Content) if
the action has been enacted but the
response does not include an entity.
If the request passes through a cache
and the Request-URI identifies one or
more currently cached entities, those
entries SHOULD be treated as stale.
Responses to this method are not
cacheable.