CMLL is specifically for Roux 3x3 speed solving, so that set is the most important set to learn.
CLL is for 2x2, and should only be learned if you want to improve at 2x2.There is some overlap between CLL and CMLL, so if you learn CMLL first, it will be easier to learn CLL later.
COLL is an algorithm set that is similar to CMLL, but with the added restriction that it cannot affect the orientation of any edge and it cannot move the DF and DB edges. While all of these algorithms are technically CMLL algorithms, many of them are worse than the original CMLL algorithms.