Personally I have no interest in different COOs unless it is associated with a major variation or verifying that a rare figure isn't a fake.
You might want to ask yourself why you are interested in knowing? Is it in hope that you have something rare in your collection? If your figures are from the UK or US and the variation isn't fairly obvious and slapping you in the face then it's extremely unlikely.
Some collectors do care though and will pay a little more for a particular COO. For that reason I always state COO in my sales. Otherwise I have no interest.
If you really are interested then in general the order of rarity it's:
Hong Kong
No COO
Taiwan
China
Macau
Japan
But worth remembering a lot depends on where you are located. And for some figures rarer COOs are more common.
Some collectors will even differentiate Hong Kong, Made in Hong Kong, H.K, how many lines it is written on, it's exact placing, size of text, types of NOO COO (raised scar, deep scar, melted, raised bar) etc etc.