The key marked delete on a Macintosh is indeed what you PC users know as the backspace key. Regardless of what’s written on it, it does what a backspace key does.
What you call a delete key is what we call a “forward delete” key. If you’ve got a full-sized keyboard, you’ve got one (look above your arrow-cursor keys). If you’ve got a smaller and/or abbreviated keyboard, such as you’d find on a laptop, you probably don’t, but you can access the same functionality using the “fn” key + the backspace (“delete”) key, as chabig pointed out.
Most Mac users don’t go around deleting the text in front of their cursor very often. That key is regarded as an unnecessary & dispensible frill. That’s why they leave it off smaller keyboards. (It’s not like we need it for Ctrl-Alt-Delete, you know ;))