MiSTer FPGA Project - This is an open source project, that hosts a multitude of console and computer cores. This is as close to the original hardware as you can get and since the project is open source it will get better and better as the years go by. There is a Colecovsion core along with Super Game Module support also. Check it out.
CollectorVision Phoenix - Sold by Collectorvision, currently plays all original games, Super Game Modules titles, built-in F18A enhanced video output. The Atari 2600 has been released, it's unknown on the status of other cores.
There are new and old Colecovision emulators. Quite frankly it been a crapshoot to track down really good ones. I'll be updating this page as things shift around with compatibility and such.
GearColeco by drhelius - This open-souce emulator looks very promissing, and good for programmers. Not tested.
CoolCV by nanochess - This is by far the most compatible with all the software emulators. It supports large ROM files as well as Super Game Module titles. Try it out! You can take PNG screenshots, and record gameplay video. Excellent overall.
BlueMSX by Daniel Vik - This emulator also emulates the MSX computer from Microsoft as well as the Colecovision.
There are many other Colecovision emulators out there, but quite frank the support on them has stopped. The two above are your best bets.