How to unlock Nexus S 2.3.3 bootloader without having to wipe all device data? The usual way is to execute:

fastboot oem unlock


But this will erase all my private data.
Unlocking the bootloader will wipe your device.

You can however get root access without unlocking the boot loader.

If you then still want to unlock the bootloader, as you already have root access you can follow Sparx's advice and use a back up app before doing so.