Coltrane as an artist exhibited more change over time than did most other artists (with the possible exception of Sun Ra). Certainly much more than Miles. A lot of people point to Miles as someone who constantly evolved, but his progression was always rooted in what was popular at the time. Coltrane went beyond that. Way beyond that. From straight ahead player with Miles (and Monk), then his first baby steps as a leader, to coming into his own with his classic quartet, to his final sheets of sound/Free Jazz sound. All different, but all from the same player.
For someone looking to explore Coltrane, I would start with his work as a member of Miles's 1st classic group- all on Prestige. Then to Blue Trane. Then to his collaborations with Johnny Hartman and Duke Elllington. This will take you from a player rooted in classic hard bop through his initial explorations in expanding standards. Then take a deep breath if you want to go any further (and for some the above is enough).
My Favorite Things shows the first manifest example of the direction Coltrane would take. I consider the title track to be one of the first psychedelic jams, a harbinger of what was to come later in the decade. His solo is like whirling dervish; in, around, ahead and behind the melody all at the same time. Try listening through headphones, late at night- this will probably be a vastly different experience than listening through speakers.
If you want to continue, then jump into A Love Supreme. Know that this album was so influential that inspired the creation of a church congregation in San Francisco. I'll admit I did not get this track for a long time, until I watched the Spike Lee movie 'Mo Better Blues". This track plays over a climactic scene of a marriage taking place in twilight, on a Brooklyn rooftop, with lower Manhattan in the background. The scene is beautifully filmed, with a late in the day technicolor feel to the film. A Love Supreme is in perfect synchronization with the solemnity of the wedding ceremony, then the obvious joy of the celebrants.
If you are still interested enough to continue, then go for his free jazz titles that continued to push the boundaries of what was possible.