Kale comes in several forms. All are best when the plants have been exposed to cool if not freezing weather. The flavor is milder and often sweeter then. Winterbor is a common type and the only one you are likely to find in the supermarket. The plants grow several feet tall and can be cut whole or as cut and come again. Vates type is small and can take temperatures down to about 20 degrees. I have harvested this when snow had to be removed to find the plants. If the leaves including stems are under 6-8 inches at a farmers' market, they probably have a Vates type. Grab it if you can in early June or October, which are peak season in the Chicago area. Red Russian looks pretty but is a little bland and definitely less cold hardy. This is usually a home garden or farmers' market type but may crop up in a specialty store. I don't have enough experience with the large-leaved Italian types to comment on them.
We prefer tender kale lightly cooked (maybe quickly in microwave with very little water) and may finish it in a pan with a little olive oil and garlic. The big stuff will take quite a bit more cooking. Kale and sausage soup is a Portuguese winter standard. You can cook kale much like Swiss chard except use only leaves stripped from the stem and discard the stem. In the summer you will probably be a lot happier with Swiss chard than kale.
Mustard greens can be eaten raw at the baby stage. I have seen them in mesclun, but otherwise they are a reason for a home garden. Greens from plants 6-8 inches tall can be cooked like spinach. In fact, my wife often mixes them in May and early June. As the weather warms up, mustard's flavor becomes strong and the leaves toughen. I took out the last of our second planting this morning and expect that they will be quite zingy even though the leaves are still pretty tender. The big ones will need a lot of cooking. A fall crop can yield the tender type in October. Again you are not likely to find them in supermarkets.
Collards are a form of open-headed cabbage. All of the leaves are pretty tough even on young plants. Long cooking is needed. Collards are sweetened by exposure to cold. In parts of the South they can be grown all winter.
If you can get golden beets, the greens are even better than red beet greens. Neither needs a lot of cooking. Wilting is sufficient for the greens from baby beets, but greens from beets larger than golf balls will take moderate cooking in water. Many Swiss chard recipes will work as they are closely related.