What is wrong with my script?

Don't use a capital G when referenceing gameObject in Destroy. That's what OrangeLightning is saying. Just change Destroy(GameObject) to Destroy(gameObject);

 function OnCollisionEnter(theCollision : Collision)
 {
     if(theCollision.gameObject.name == "Bullet")
     {
         Destroy (gameObject);
     }
 }

Thank you for the vote up sir, I've done the same for you.

 :)

Thanks!