OS X does not allow that. It's an Apple Design question. They don't believe in the metaphor of "cutting" something, no matter how much we (users) believe in it.*1
So we are left with what others can come up with. And a lot of them did.
Do it with a macro in QuickSilver (which, once you know it, you wouldn't want to live without anymore anywayz): http://www.macosxhints.com/article.php?story=20081112153330648
Do it with the Context Menu (QuickAccessCM): http://www.pure-mac.com/cmm.html#quickaccesscm
Do it with a droplet (nothing I'd suggest since it uses the mouse as well): http://www.versiontracker.com/dyn/moreinfo/macosx/27818
Do it by replacing the finder as a whole: http://www.cocoatech.com/ (Pathfinder)
I've gone the QuickSilver way, since I am a keyboard junkie and QuickSilver ... well, everything and the kitchen sink.
*1 Except that since OS 3.0 on iPhone even Apple offers a "Cut" option. I still hope - after decades of waiting - that it will finally be available in a Desktop OS as well...