A C441 pilot filed the TEB 6 SID to CYN. When given direct COL the pilot mistakenly turned to CYN confusing CYN and COL which are near each other and somewhat similar sounding.

Narrative

While on the TEB 6 Departure; I was given a vector to intercept Colts Neck; COL VOR 350 degrees radial inbound. The departure routing is after 2000 FT and 280 heading; thence; as per notes or via vector to assigned route/fix. I understood Coyle; CYN instead which was part of my clearance route. The heading I was given seemed logical for CYN 350 degrees. I programmed the GPS for the radial to CYN which is what I expected based on the text in the departure procedure which said as per notes or via vector to assigned route/fix. The one that I thought; expected; filed; and was cleared to; turned out to not be the one that ATC intended for me. Both VORs were in close proximity; similar sounding when spoken and only CYN was in my flight plan and clearance route including the waypoints in the GPS from the departure procedure. COL appeared as a footnote to the text part of the departure procedure as a possibility. A short time after the heading to intercept the radial; I was given direct Colts Neck and contact New York Departure. I unselected the radial and selected direct again to Coyle and contacted the next Controller. To me it seemed like a typical situation where ATC will have the pilot skip ahead a couple of close waypoints in a route. It also seemed logical based on the 'Thence' part of the departure procedure that I was on. The next Controller queried where I was going. My response was 'going to BCT tonight' or something similar (still not aware that I am not heading for the VOR that New York Departure intended for me to go to). The Controller asked if I was going directly to BCT (sarcastic) and told me to go to Colts Neck; gave me a heading to turn to immediately and admonished me. I was able to look at the whole flight plan again and realized that Colts Neck is not Coyle and that even though they are very close in name; location and both were part of my flight plan and even though everything looked 'right' on my screens and seemed logical; it wasn't what ATC had intended me to do. This was a purely unintentional deviation from the ATC instruction on my part that was complicated by the somewhat vague departure procedure. According to my TCAD and Mode S; there was no traffic that was in the immediate area that my equipment determined to be a 'threat.' However; in addition to giving me an immediate climb and a heading; he gave at least one other plane a new heading.