In addition to @Will's answer, if you happen to be using MySQL or SQL Server (tested in 2008), you can use the simple multiple-table DELETE syntax as follows:
DELETE t1
FROM your_tb t1
JOIN your_tb t2 ON (t2.sku = t1.sku AND t2.date > t1.date);
Test case:
CREATE TABLE your_tb (sku char(3), date date, value int);
INSERT INTO your_tb VALUES ('ABC', '2010-08-02', 100);
INSERT INTO your_tb VALUES ('ABC', '2010-08-15', 150);
INSERT INTO your_tb VALUES ('ABC', '2010-08-20', 180);
INSERT INTO your_tb VALUES ('DEF', '2010-08-02', 130);
INSERT INTO your_tb VALUES ('GHI', '2010-08-03', 120);
INSERT INTO your_tb VALUES ('JKL', '2010-08-02', 140);
INSERT INTO your_tb VALUES ('JKL', '2010-08-20', 160);
Result after delete is applied:
SELECT * FROM your_tb;
+------+------------+-------+
| sku | date | value |
+------+------------+-------+
| ABC | 2010-08-20 | 180 |
| DEF | 2010-08-02 | 130 |
| GHI | 2010-08-03 | 120 |
| JKL | 2010-08-20 | 160 |
+------+------------+-------+
4 rows in set (0.00 sec)