I really like both games, and I own both (Saturn import versions). I would recommend Marvel Super Heroes if you can only get one of the two. Read below for more random tidbits.
MSH uses 3M from the cart for additional animations and things like that. It doesn't really seem to help with the loading or the massive slow-downs the game is prone to. (There are a lot of colors and effects that seem to slow the game down; also, character size matters. Hulk vs Juggernaut will have more slowdowns than, say, a match of Spider-Man vs Wolverine).
MSH is, to me, more fun because it's more polished and streamlined than COTA and has that fun gem-based system. Aerial Raves are easier and make more sense. The soundtrack and character roster are slightly better in MSH, because you get most of the "core" Avengers, some really cool villains, AND you still get 4 people from COTA (Wolverine, Psylocke, Juggernaut, Magneto).
I love COTA but half the time I have no clue what the hell is going on. The "collision" system between characters feels off, the super meter has a two level system that I still haven't bothered to fully understand, Aerial Raves are a hot mess, and as someone mentioned you seem to be constantly dropping through broken floors which interrupts the flow of combat. I absolutely love the art direction and soundtrack in this game though; it's a beauty to look at and listen to.
Start with MSH. (Preferably the import since the US version doesn't take advantage of the extra cart power). But if you can afford it down the road, get COTA as well.