How can I remove this half-downloaded app from my iPhone?
Reboot.

I had an app stuck in the Loading... state and a reboot of my iPhone cleared it away. I was able to re-download it again without any issues.

To reboot your phone hold down the Power button for 5 seconds. You'll see the power off slider appear. Slide it to turn the phone off. Once off, use the Power button to turn it back on.