Though you never want your users to leave your site, it is nice to provide them a method to do so, if they should desire.
Here’s a little component to allow a user to remove his account. After you install it, add a new menu link to it. Select the removeme link and make sure to set it to Registered if you don’t want to bother guests with seeing it. Don’t use the notuser type for a link. It’s not meant to be assigned a menu link.
If you’d rather have your remove me function in a module, get the module and install it after the component.
You can download both the component and the module here.