Comprehensive coverage is an all-encompassing coverage that protects your vehicle against physical damage caused by anything other that collision.
Examples for this would be hitting a deer, broken windshield, theft or flood.
Collision coverage is to ensure that you and your vehicle are properly covered in an event of an accident. It covers the damage done to your vehicle when it collides with another vehicle or object.
Examples for collision include a car crash, pot holes, hitting a fallen tree, guard rail, or hitting a ditch.