How do I delete a file named "-p" from bash?

Most GNU tools support -- to terminate the options.

rm -- -p
rm ./-p

The NOTE section in the man page for rm has something to say exactly about this. Apart from what Ignacio Vazquez-Abrams has mentioned in their answer, one other way of removing such files, as mentioned in the man page, is by using an absolute path reference, such as: rm /home/user/-p.