For the most part, I agree with hobodave's answer. I would only add that if you need to remove a significant part of your answer and doing so would result in a long comment thread making no sense, you can consider striking out the text. For example:
This is the paragraph that turned out to be wrong and generated 12 comments. Blah blah blah, yackity shmackity, lorem ipsum, tally-ho, et cetera.
This is the rest of the answer, which may have been added afterward or may have always been here since the beginning.
You format it like so: <del>deleted text</del>
Again, I would suggest that people only use this when you're about to make a major change to your answer, enough to cause all kinds of confusion. These edits are rare, but they do happen; if you're not sure whether or not you should use strikeout text, then you probably shouldn't. It will be very obvious when that's what you need to do.
Whether you choose to use strikethrough or just delete the incorrect information, please do edit your answer to be correct. Incorrect answers are not beneficial to the question author, the community, or Google searches, so you should revise any answers that are partially wrong and delete ones that are completely wrong.