CR quoted:
"...the coccyx... not entirely useless;[3] it is an important attachment for various muscles, tendons and ligaments  which makes it necessary for physicians and patients to pay special attention to these attachments when considering surgical removal of the coccyx.[1] Additionally, it is also part of the weight-bearing tripod structure which act as a support for a sitting person. When a person sits leaning forward, the ischial tuberosities and inferior rami of the ischium take most of the weight, but as the sitting person leans backward, more weight is transferred to the coccyx.[1]
The anterior side of the coccyx serves for the attachment of a group of muscles important for many functions of the pelvic floor (i.e. defecation, continence, etc): The levator ani muscle, which include coccygeus, iliococcygeus, and pubococcygeus. Through the anococcygeal raphé, the coccyx supports the position of the anus. Attached to the posterior side is gluteus maximus which extend the thigh during ambulation.[1]
Many important ligaments attach to the coccyx: The anterior and posterior sacrococcygeal ligaments are the continuations of the anterior and posterior longitudinal ligaments that stretches along the entire spine.[1] Additionally, the lateral sacrococcygeal ligaments complete the foramina for the last sacral nerve.[4] And, lastly, some fibers of the sacrospinous and sacrotuberous ligaments (arising from the spine of the ischium and the ischial tuberosity respectively) also attach to the coccyx.[1]..."
http://en.wikipedia.org/wiki/Coccyx