The title of this post is technically a lie, since there is no widget delete action (that I’m aware of anyway).  However if you want to hook into the action that occurs when a widget is deleted you can use the following code in your functions.php :

add_action( 'sidebar_admin_setup', 'my_sidebar_admin_setup' );

function my_sidebar_admin_setup() {

     if ( 'post' == strtolower( $_SERVER['REQUEST_METHOD'] ) ) {

          $widget_id = $_POST['widget-id'];

          if ( isset( $_POST['delete_widget'] ) ) {
               if ( 1 === (int) $_POST['delete_widget'] ) {
                    // Widget deleted; do something
               }
          }

     }

}

The ‘sidebar_admin_setup’  action gets triggered, seemingly, anytime a change occurs on the Widget screen.  Dragging a widget, saving a widget, deleting a widget – all of these trigger this action.  It’s a pretty handy hook to know.