Denis is right, there's no way to actually remove categories as a taxonomy from the 'post' post-type. If you're the only user, just use screen options to remove the categories meta box. If you want to remove it for all users, or you're trying to package a theme without categories, use this function:
add_action( 'add_meta_boxes', 'hide_categories_metabox' );
function hide_categories_metabox() {
remove_meta_box('categorydiv','post','side');
}
If you really need to remove the functionality of categories altogether, hide the 'post' post type and register your own without support for categories. Just be aware that you won't be able to use WP's built-in archive functionality, at least until 3.1...?