Surprising as it may be, it works! Well, it worked for me (in a matter of two weeks, after one year of coccyx pain) and it has worked for many others. So, it may work for you as well! I'm talking about Prof. Sarno's approach. At least three people have already mentioned it on this site, but probably you have not paid enough attention to them because the whole idea is hard to believe. It is specially difficult to believe that it applies to oneself. OK, as a scientist I think that being skeptic is healthy. But I also think that it is good to keep an open mind, in particular for dealing with difficult problems. So, unless you and your doctors are 101% sure that your pain is caused by a serious structural problem, I advise you to give Sarno's treatment a try. You have nothing to loose, for it is conservative, simple and cheap!
According to Sarno's diagnosis, coccyx pain, back pain, sciatica, knee pain, RSI, etc. are in most of the cases produced by our subconscious mind (or autonomous nervous system, if you like). This doesn't mean at all that you are imagining the pain: the pain is real and can be excruciating. Actually, there is something physical going on with your coccyx, but the ultimate responsible is the brain. The great thing about it is that your conscious mind can reverse the problem, which means that you can be cured following a psychological approach. In many cases, this reduces to accepting and understanding the mind-body diagnosis.
Personally, I recommend Fred Amir's book, Rapid Recovery from Back and Neck Pain (here, substitute "back" or "neck" by "tailbone").
See also Psychological treatments for pain, and contributions from Frederick Darrah, Todd and Patrice