Use a list comprehension:
>>> lis = [u'File:Saddam Hussein (107).jpg', u'Template:Fn (page does not exist)', u'Template:Fn (page does not exist)', u'Template:Fn (page does not exist)', u'Template:Fn (page does not exist)', u'Template:Fn (page does not exist)', u'File:AlBakr.jpg', u'Template:Fn (page does not exist)', u'File:Chiracsaddam.jpg', u'File:Donald saddam.jpg', u'Template:Fn (page does not exist)', u'File:SaddamandCuellar.jpg.jpg', u'Template:Fn (page does not exist)', u'Template:Fn (page does not exist)', u'File:SaddamBaghdadwalkabout.jpg', u'Template:Fn (page does not exist)', u'Template:Fn (page does not exist)', u'Template:Fn (page does not exist)', u'Kurdish Patriotic Front (page does not exist)', u'File:TrialSaddam.jpg', u'Mohammad Rashdan (page does not exist)', u'Emmanuel Ludot (page does not exist)', u'Marc Henzelin (page does not exist)', u'Adnan Khairallah Tuffah (page does not exist)', u'Nidal al-Hamdani (page does not exist)', u'Ali Hussein (page does not exist)', u'File:SaddamandRana.jpg.jpg', u'Saddam Kamel Majid (page does not exist)', u'Template:Fn (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)', u'Template:Fnb (page does not exist)']
If you want to modify the original list:
>>> lis[:] = [item for item in lis if "(page does not exist)" not in item]
Or to create a new list:
new_lis = [item for item in lis if "(page does not exist)" not in item]