If it's a decent system (at least 350 MHz CPU, 128 MB RAM, 6 GB HD) and you're using it as a desktop system, I would upgrade to Mandrake 8.2. There's a lot of good new software (besides the kernel) in the last year and a half. Upgrading the kernel alone is not an easy task as there will be multiple dependencies to resolve. Unless the existing 2.2 kernel does not support your hardware (well), the benefits of a kernel-only update are not compelling.
If it's just a private server, then you probably don't need to. You can always manually install new servers from source if necessary.