The fastest way to do it is to run this query directly.
DELETE FROM `catalog_product_entity` WHERE `sku` IN ('SKU1', 'SKU2', ...., 'SKU1000');
Everything should cascade nicely. attribute values will be deleted, category relations will be deleted, upsells, crosssells and related and so on.
There is a catch to this. Thanks to STW for spotting this. The reviews and ratings will remain orphans because there is no foreign key to the products table for them.