Antigone is one of the greatest, most thought-provoking plays I've ever read.

I think Oedipus at Colonus fleshes out some of the nuance missing from Oedipus Rex and gives some necessary understanding for Antigone's character. With that said, I think there's not much more to Oedipus Rex than the story - if you know the plot or story arc, reading the play doesn't add much, other than an introduction to Creon (for reading Antigone, of course). I'm sure there's much that I'm missing, but I just didn't feel Oedipus Rex really delves into its themes in the way Antigone does. Perhaps Oedipus at Colonus does somewhat, as it remarks that Oedipus unknowingly committed his crimes and shows his moral growth in releasing himself to the will of the gods, but it really all pales to the conclusion to the Oedipus Cycle, Antigone, an absolutely beautiful play that questions God's laws vs human laws. Though the play seems to settle Sophocles' matter on the subject, it's a topic I can't help but return to time and time again as I contemplate our modern world. When compared to Antigone, Oedipus Rex and Oedipus at Colonus are mostly interesting only because they provide background for understanding the world of Antigone.