1. Clear the value of this field. You can’t choose this option if you make this field required.
2. Don’t allow deletion of the lookup record that’s part of a lookup relationship.
3. Delete related records also.
Note:
For option 3, we have to contact Salesforce.com support.
For more info on option 3, check the below link
https://help.salesforce.com/HTViewSolution?id=000199350&language=en_US
Cheers!!!