MySQL appears to DROP USER; but user still exists in mysql.users table
Or, to delete just the anonymous one and not the root as well:
mysql> DELETE FROM mysql.user WHERE User='' AND Host='my-computer-hostname.local';
Worked for me on 5.1.57.
This is a known bug due to your uppercase characters: http://bugs.mysql.com/bug.php?id=62255
Use the suggestion from user douger as a workaround
You can still delete the records from the user table:
mysql> DELETE FROM user WHERE host='my-computer-hostname.local';
Query OK, 2 rows affected (0.00 sec)
This method was used prior to MySQL 4.1...