Normally the rule of thumb when flashing is as follows..
*** First make your Nandroid Backup if you haven't already.
- ROMs... Normally a full wipe.. Data,Cache & Advanced/Dalvik Cache. Although many users do what they call a "dirty flash" and don't wipe DATA so they don't have to redo their settings and personal data. This isn't always a good option but it works in most cases, so if you have problems then do the full data wipe.
- Themes.. Cache & Advanced/Dalvik Cache... This won't remove any personal data/settings but is recommended.
- Kernels.. Cache & Advanced/Dalvik Cache.. This is important to do, as kernels are a main link between your device and OS and you want to make sure you have a good proper flash.
- Mods & Apps.. Normally these don't require any wipe, see the devs instructions for what your flashing.
[TIP]Note: Above all mentioned above, follow the devs instructions for what your trying to flash.[/TIP]