Query to delete all featured images and remove post meta?

A MYSQL Query cannot delete the files themselves. You will have to use wp_delete_attachment(). The following is a proof-of-concept for you to alter how you please. The featured image is stored in postmeta as _thumbnail_id. wp_delete_attachment() does the rest for you.

<?php
/*
Plugin Name: Delete All Featured Images
Description: Delete all featured images by visiting /?delete-featured-images=1
Version: 0.1
Author: Brian Fegter
Author URI: http://coderrr.com
License: GPL3v2
*/

# USAGE: visit http://yourdomain.com/?delete-featured-images=1

add_action('init', 'foo_bar_delete_featured', 0);
function foo_bar_delete_featured(){

    # Check for logged in state
    if(!is_user_logged_in())
        return;

    # Check for admin role
    if(!current_user_can('manage_options'))
        return;

    # Check for query string
    if(isset($_GET['delete-featured-images']) && $_GET['delete-featured-images'] == 1){
        global $wpdb;

        # Run a DQL to get all featured image rows
        $attachments = $wpdb->get_results("SELECT * FROM $wpdb->postmeta WHERE meta_key = '_thumbnail_id'");

        foreach($attachments as $attachment){

            # Run a DML to remove this featured image row
            $wpdb->query("DELETE FROM $wpdb->postmeta WHERE meta_id = '$attachment->meta_id' LIMIT 1");

            # Delete attachment DB rows and files
            wp_delete_attachment($attachment->meta_value, true);

            # Print to screen
            show_message('Attachment #$attachment->meta_value deleted.');
        }
        exit;
    }
}