If you listed the item as a Buy It Now listing go to your My Selling page, pull up the drop-down menu to the right of the listing and click on the "End Listing" option. You'll be asked for a reason as to why you want to end the listing - select "Item No Longer Available" and confirm that you want to end the listing and the ad will be taken down. If, however, you've set the listing up as an Auction listing you can just follow the same instructions if you have not received any bids, but if you do have bids on the item then you will have to cancel each bid manually, in which case eBay will charge you a percentage based on the price of the highest bid received to date.
With regards to penalties for ending a listing because you've changed your mind there are no penalties specifically for changing your mind about wanting to sell the item, although given the fact that eBay do tend to be somewhat paranoid about the possibility of sellers doing off-eBay deals you could potentially find yourself accused of this by eBay if you were to pull too many listings for eBay's liking. If eBay suspect that you did end the listing to carry out an off-eBay sale, even if you can truthfully say that you didn't pull the listing for that reason, then you may well find that eBay place a temporary ban on your selling account. The risk of this happening may be somewhat higher if a potential buyer contacted you via the Ask Seller A Question link to ask questions about the item and you subsequently end the listing; however, if it's just a one-off occurrence then you shouldn't find yourself on the receiving end of any grief from eBay.
