Here's how to do it, found it in a EVO forum, but works perfectly on the Thunderbolt, and boy am I glad! Coming from BB and not being able to clear my mail in bulk would have been a royal pain, since I do most of it on my phone.
Enjoy!
Go to your email on your phone then select: Menu, hit delete, hit menu again, click select all, then hit delete or first uncheck any messages you want to keep. You will want to make sure your settings are correct though. If you want to delete the messages on your email server along with your phone, then make sure the check box is checked. The way to check is go to you email on your phone. Then hit menu, select more,click on settings, click on send and receive then either check the "delete mail on server" or uncheck it depending on your preference.
JJ