You can destroy every structure (except the Marketplace, unless I haven't figured it out) by smacking it with your pickaxe. The structures that build things must be in the process of building something and then you can smack it til it breaks before it finishes the build. You receive all of the materials it took to create the structure in the first place, so don't worry about losing the materials. However, I have discovered that if you destroy a Furnace while it is making something using Coal, the Coal will not be returned. Lost 64 coal canceling Gold Ingots :(