Both a CWM and Stock Recovery reset (data wipe) do essentially the same thing, however stock recovery will usually wipe the "internal SD" storage partition as well, where as CWM does not (thank God). In either case, you'll just be left with a clean version of the CURRENT ROM you're running, with all personal data and settings removed. There is no way to do a wipe to get to a different ROM version, i.e. the original stock ROM isn't saved somewhere on the phone to revert back to. I'm not even sure if the factory reset option in the device settings works if have a custom recovery, such as CWM...it may though, I've never tried it.
Any of the Nandroids you made prior to installing the new kernel will get you back to where you were before (Nandroid backup/restores ROM and Kernel). Reflashing the Root66 would, yes, put you back to the rooted, unlocked, stock...but if all you want to do is revert the kernel, using a recent nandroid may work just fine for you. This is why it's often advised to make a nandroid backup prior to installing any new ROMs or kernels.
*Caution: I'm actually not 100% sure, but I believe flashing firmware in ODIN will delete the contents of your internal storage as well...but sure to backup what you need before taking those steps.