DDR2 is essentially double the pumping of the original Double Data Rate Synchronus Dynamic Random Acces Memory. The difference in the 1066/800/667 is the speed at which the data transfers, but the numbers you asked about reference the clock speed.
For example, DDR2 - 1066 has a memory clock of 266MHz and a 533 MHz I/O bus clock. That being said, the DDR2 - 1066 is the fastest, but being better is relative to what you have already installed.
If you're looking to build a new system around DDR2 - 1066, then sure, you could say it's "better", but if you're looking to add to your current memory modules, ideally you want to add matching RAM or you'll be wasting the potential of higher quality modules.
For example: If you currently have DDR2 - 400, but you add a stick/module of DDR2-1066, your computer will operate at the DDR2 - 400 level with the added physical memory.