Coal Armor refers to armor created from Coal, which is quite rare and thus generally considered valuable.
Coal was one of the gift items included in the 1997 "Naughty" Christmas Bag during Holiday 1997 awarded to negative-Karma players. Coal ingots were created by smelting the coal and some players were able to collect enough of these ingots to create sets of armor. GM marked armor made from coal ingots can be quite valuable.
Coal ingots are a slightly different shade of color than Shadow ingots. Shadow ingots have a slightly blueish tint, whereas the Coal ingots do not, and coal armor created from these ingots retain this distinctive color.