Camping Chair (the type that you can fold up and put in a bag) embroidered with the word "Coach" on it. Although coaches don't sit much during their own game, they can use it at games when they're not coaching.
Gift Certificate to a restaurant. For a coach who is married, include a thank you note to the spouse for the sacrifices they've made during the season. A gift certificate to a sporting goods store would also be appreciated.
Tickets to a Game if there is a local college or pro team that you know the coach loves, purchase two tickets to one of their games.
Windbreaker, Sweatshirt, or Hat that has "Coach X" embroidered on it. You could include the school or team logo, or a picture of the sport (a soccer ball, football, etc.)
Season Passes to a nearby theme park for his/her whole family. Recognize the sacrifice that the whole family made so that you could have them as your coach! Tickets like these can be very costly, so this would be a great gift for the whole team to pitch in on.