You wouldn't think it'd be rocket science to unfollow people, but it was a bugger to find. So much so it's worthy of a blog post.
To start with, on the main horizontal nav, go to 'Network>Contacts' in the drop-down (as below, but you can access this from the Home page as well).
From here you'll be directed to the main Contacts Page. Just scroll down a little and you'll see a large white area with a couple of drop-downs of filtering options. These include 'Recent Conversations', 'Last Name', 'First Name' and "New' (as in, new contacts). You can also filter by location, the companies you manage pages for, tags, job titles (handy in my case) etc.
Then once you've got some filtering sorted - and no offence to anyone in the pics above, I'm just using them as an example and not unfollowing any of these loverly peeps - head to the small drop-down under each that says 'More', and then click on 'Remove Connection'. It'll ask you if you're sure, just to be certain.
Not hard, but the devil to find if you don't know. For a couple more LinkedIn tips you could try "How to Automatically Post Content to LinkedIn and Google+", "Targeting Companies With LinkedIn and Facebook Social Data", and "How do you go Incognito When Viewing LinkedIn Profiles?".
Hope this helps someone :)