Cocos2d is a wrapper around the 2D features of OpenGL (as of this: http://www.cocos2d-iphone.org/about) . Under the hood it itself uses OpenGL ES to implement its features. This is good because it means that there will be minimal performance overhead so you can start using its simpler API without having to get immersed to the definitely bigger learning path of OpenGL.
It has however only strong 2D support and if you plan to write later 3d games you loose all benefits of Cocos2d: why would you rewrite a 3d rendering engine with a 2d framework that under the hood uses a very strong 3d engine? You loose performance for a lot of unnecessary work.
So the simpler answer is: for 2d Cocos2d, for 3d OpenGL.
If you want to start OpenGL ES, this is a very good tutorial for beginners: http://iphonedevelopment.blogspot.it/2009/05/opengl-es-from-ground-up-table-of.html