You can think of the kernel as just another program on your computer. The particular version you choose doesn't affect which other programs are installed.
Generally, newer versions of the kernel provide increased system stability and better hardware support. As they become available they are used in Ubuntu, but they are not strictly associated with any particular Ubuntu release. The kernel is developed separately from Ubuntu, and each Ubuntu release is likely to receive several kernel upgrades over its lifetime.
Ubuntu only runs one kernel at a time, so in an ideal world we should be able to install newer kernels just as we install newer applications — in place of the old version, leaving only one copy installed at a time. Since the kernel is vital to the system's ability to boot, however, it receives special treatment. Older versions are kept around as backups in case a newer version doesn't work. You should never have to use them, but, hypothetically, if one day Ubuntu doesn't boot after an upgrade, you might be able to recover by selecting an older kernel.
It doesn't hurt to leave older kernels installed, so unless you're running out of disk space there's not really any reason to remove them.