To hide a channel is to remain a member of the channel but to remove it from your list of channels displayed.
To leave a channel is to no longer be a member of the channel.
When you hover your mouse over a channel listed on the left-hand pane, you will see two icons appear to the right of the channel name: Hide room and Leave room.
Click on the corresponding icon to "hide" or "leave" the channel.
When looking at the channel listing on the main Messages screen, swiping left on a channel or direct message provides the option to Hide or Leave that Channel or Direct Message.