If you choose to mark a deal as lost, you state that the deal has not gone through for a specific reason.
You can edit those reasons under Settings > Deals and Quotations > Preferences > Manage deal loss reasons.
Lost deals are also taken into account in the statistics.
It's better to only delete a deal if you're sure that there has been a mistake. A deleted deal is not taken into account in the statistics.
Notes
If you deleted a deal by mistake, you can still retrieve it using these instructions.
If you chose a wrong loss reason, you can click on a previous phase and click on lost again to correct it. Do note the lost date will change to today, this cannot be edited.