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!!!