I have found a Magento extension (or module if some might call it) that allows you to delete orders and it is totally free.
The catch? This module/extension only orders that are without Invoice, Shippment or Creditmemo could be deleted. You can only delete Cancelled Orders. So~ you still have to cancel the order before deleting it or it will prompt an error “Please cancel your order before delete it“. Why only Cancelled Orders? Because deleting a complete order breaks links with invoices and shipments and could create problems along the …

I think most of you are not surprise when I say that Magento does have a built-in export module.

I’ve locked myself trying to find a way to export my orders for my Magento 1.1.1 set up. And then I found it, szotyi from the Magento Forums posted this great solution to export orders for Magento.

Features includes:

A simple interface on the Sales -> Order page, Orders are exported in XML files, You can export all or only selected orders, Configurable/Customizable XML output