In a new book by Bryan Sykes this matter is discussed in detail. Page 108 contains a chart of descendants, and Dr Sykes why it is difficult to learn if the number of markers changed in the 3rd or 5th generation leading to a pair of sixth cousins born in 1950's.
Matching at 66 locations in the readout of the Y chromosome is a good indicator that you are related and do share an ancestor in your great grandfather.
Comparing the Y-DNA will not lead to a closer relationship .If you two were sharing an ancestor in a different pedigree, discovery of that relationship would be costly, and I am not even certain that such a science to do so even exists today.
I would be interested in learning the matches of the male siblings of both you and your cousin......I suspect they would all be close to 66---.
Lets speculate that your daughter marries his son.
And from this union two male children are born. Ben and Bill.
They will be siblings, so the Y-DNA will be similar to yours.
But they will seem to be closer than siblings...because they will have the probability of inheriting the genes of your great grandfather TWICEof the probability of inheriting the genes of the other great grandfathers.
One out of eight verses two out of eight----
I feel that Ben and Bill are closer to one another than ordinary siblings. But without testing hundreds of DNA locations I do not see how to determine this.