Gonna make this quick since Im posting this on my iphone.
Some of your, infact a lot that do this are doing it incorrectly.
This is what 95% of the people have that I see.
Code:
remove_action('wp_head', 'wp_generator');
This will remove it from your theme, but it will still show up in your feeds.
All you have to do is add this to your themes functions.php file. (this is the proper way)
Code:
add_filter('the_generator',create_function('$a',"return null;"));