The kernel is the interface between the hardware and the software, like still1 explained above. (It's not the operating system.) Your phone already has a kernel on it, whether you're running stock or have flashed a ROM. (Every phone has one or the OS couldn't talk to the hardware.) But just like flashing a custom ROM can give you more functionality, flashing a custom kernel can do the same thing. The main thing people do with a custom kernels is to control the behavior of the CPU to either give extra performance, better battery life, or both.
You can already change the CPU speed on your custom ROM because it has a custom kernel included. If you go to About Phone it will tell you what kernel is installed. I'm not familiar enough with AOKP to know if the dev created his own kernel or if he included an existing custom kernel. But it's possible that flashing a different kernel could give you additional functionality (e.g. variable speed profiles, control the CPU sleep settings, etc).
If you're interested in flashing a kernel, do your research. Since the kernel is the interface between the hardware and the software you have to make sure it plays well with both. Make sure that you find something that is compatible with your ROM and with your device. The best way is probably to ask in a forum or on a site that's dedicated to your specific ROM, but even asking in the device forum on this site could get you some answers.