The Word of God refers to four distinct events as the "coming" of Christ. These four events are described in 1 John 5:20; John 14:3; John 14:23; and Revelation 1:7. There are, of course, many other passages that corroborate what these say, but these should suffice to establish that these four events are specifically referenced in Scripture.
The first coming of Christ is an historical fact, which 1 John 5:20 establishes, "we know that the Son of God has come". The Son of God has come here, He has come down out of Heaven, to give eternal life to sinners (John 6:35–40).
We sometimes say that glibly, but it's not a trivial statement. The Son of God came to give eternal life, and it cost Him a great deal. When the Lord Jesus said that we must eat His flesh and drink His blood to have eternal life (John 6:54–56), He wasn't making an idle statement. He really did give up His own flesh and His own blood, dying for wicked sinners. The love of God isn't a cheap and sentimental love. It's a love written in the agony of the Son of God, who gave Himself so that wicked sinners could have eternal life (Galatians 2:20).
The second event that the Scripture describes as the Lord Jesus coming is given in John 14:3. There, the Lord Jesus says, "I am coming again and shall receive you to myself". The first time the Lord Jesus came, it was to give eternal life to sinners. But this second time, He's not coming to save sinners. This time He's coming to save saints. This is what Philippians 3:21 talks about: the Son of God is coming from Heaven to change our bodies to be like His.
But we're not just waiting for a redeemed body, we're waiting to be with Him, so that where He is, we'll be there too. That's how He described it in John 14:3, Paul describes it similarly in 1 Thessalonians 4:17, "so shall we be always with the Lord" (Darby). At this second coming we'll see Jesus Christ face-to-face, and we'll be changed to be like Him (Philippians 3:20–21; 1 John 3:2).
Consider that last point for a moment. Now we look into Heaven by faith and see the Lord Jesus seated at God's right hand (Hebrews 1:1–3). And 2 Corinthians 3:17–18 teaches that as we gaze on His glory, we're transformed into His image. So there is a day-to-day slow and gradual change that happens as we look at Him. There is only one way we can become like Christ, and that's looking at Him. And 1 John 3:2 says, some day we'll get a really good look, we'll see His face, and instantly we'll be like Him (1 Corinthians 15:51–52).
The question is, are we waiting until then to look at His face? We don't have to.
So the Lord Jesus has already come once to give His blood and His flesh to dying sinners so they can have eternal life. And He's coming a second time to get those sinners and take them away to be with Him, like Him. But the Scripture doesn't stop there, there is a third "coming", in John 14:23. There it's not a physical coming. There it's not a matter of dying for us, or of changing our mortal bodies to be like His. There it's a question of fellowship: "If any one love me, he will keep my word, and my Father will love him, and we will come to him and make our abode with him" (Darby). This same coming is described in Revelation 3:20.
This isn't something others can see, this is (if I may say it), a private coming. This is the Lord Jesus coming in a spiritual sense to fellowship with us down here. And we notice it's not the Lord Jesus coming for us, it's the Lord Jesus coming for me. This is individual.
Notice this is an in-between coming: it's between the Lord's first coming (1 John 5:20) and His second (John 14:3). He has come, He is coming, and in the meanwhile He does come to those who love Him.
There is a fourth coming in Scripture: the coming in judgment. This is detailed really in the Old Testament prophets (Isaiah 63:1–6; Zechariah 14:1–7), but the New Testament picks up the theme as well (Revelation 1:7). Now, some believe this is the same as His coming in John 14:3, but I don't think it is: the descriptions really don't line up. Regardless of your views on that point, it's true that He is coming to be seen, and coming to judge. This isn't Christ coming as the Bread of Heaven to give eternal life to dying sinners, nor Christ coming to get His own and take them to Heaven. This isn't even His coming to have fellowship with individuals. This is Christ coming as the Judge to sit in Jerusalem and rule the nations with a rod of iron (Psalm 2:1–12). This time, "every eye" will see Him. And it won't be a happy thing for them to do so: "all the tribes of the land shall wail because of him" (Revelation 1:7, Darby).
It ought to affect our hearts to understand that the Son of God is coming. It ought to remind us this world isn't home: it's a world under judgment. But more than that, our hearts should be burning in anticipation of seeing His face and being like Him. We should remember the commendation given to the Thessalonians:
they themselves relate concerning us what entering in we had to you, and how ye turned to God from idols to serve a living and true God, and to await his Son from the heavens, whom he raised from among the dead, Jesus, our deliverer from the coming wrath
(1 Thessalonians 1:9–10, Darby)