Delete/Rename lightning Component

Update:

You can also query for the AuraDefinitionBundle from developer console and simply change the DeveloperName

The other way to do this via ANT migration tool .You will create a destructive xml like below

destructiveChanges.xml

<?xml version="1.0" encoding="UTF-8"?>
<Package xmlns="http://soap.sforce.com/2006/04/metadata">
<types>
    <members>page</members>
    <members>example</members>
    <name>AuraDefinitionBundle</name>
</types>
<version>37.0</version>

and then an empty package.xml

<?xml version="1.0" encoding="UTF-8"?>
<Package xmlns="http://soap.sforce.com/2006/04/metadata">
<version>37.0</version>
</Package>

Use ANT to build this and this would destroy the component bundle mentioned in the destrutiveChanges xml

Renaming Currently is pain ,I prefer recreating a new component and copy paste it and delete older via dev console .Using tools like ANT or force.com CLI is quicker .

We can run below query in developer console query editor. It will return all the aura component name in DeveloperName column.

SELECT Id, DeveloperName FROM AuraDefinitionBundle

Now we can edit Developer Name and save it. It will reflect all the place wherever the component is used. If you are using the component in controller and helper, It will reflect there also.