Coal has been used as fuel for quite a while and has been the primary means of gaining energy for centuries. Although other options now exist, many areas are still abundant with coal, which can be used in heating as well as with firing up a fireplace.
Some really like how coal burns (for an example of burning coal, see the video below). It has a special feel to it (visual and the feeling of warmth is different as well), which can not be replicated using a gas fireplace.
Naturally, there are also drawbacks to using coal, so you will need to weigh your options. For one it requires work setting it up. Think about what works best for you. The toasty warmth of a coal fireplace or the convenience of a gas powered fireplace.