When you "delete" a file from the SD card, the file's data isn't actually erased from the card. All that happens is that the SD card's directory is updated so that the space on the card used by the file's data is marked as "not in use". In addition, several of the EVO's apps (Gallery and Music Player, to name two) seem to maintain their own cache of data file locations, independent of the SD card's directory.
Therefore, if you delete, say, an MP3 file from the SD card via some means other than Music Player, Music Player thinks that the "deleted" file is still present, and since the file's data hasn't truly been erased from the SD card, Music Player can still play the file (!).
The solution is to erase the "ghost" files that the app still sees using the app itself. This is a hole in Android that I'm surprised Google hasn't fixed.