Two patients have reported success in getting rid of coccyx pain using yoga, Saurabh, AJ. The exercises that they used were:
Shalbasana, Bhujangasana and Ardha shalabh asana
On the other hand, Jo has used these exercises and said: "I would certainly agree that whilst yoga brings about relief from my symptoms as the affected area is stretched and relaxed in turn, it has not provided a cure." CE Forman found they seemed to help at first, but not for long.
Brandon Smith and Anonymous reported success in getting rid of coccyx pain using a lumbar extender. Richard L found that it did not help him.

Please let me know if you try any of these these exercises, whether or not they are successful for you. Both positive and negative information is helpful for others.
Updated 2009-10-04