I don’t know anyone who actually received a lump of coal for Christmas. I imagine it would be quite traumatizing — for an American child. Naughty children in Austria and Hungary have something more to fear — the Krampus:
These demonic Christmas cryptids, along with a wide variety of other nefarious aides and companions, have accompanied Saint Nicholas on his gift-giving journeys in the Central and Eastern European Alps for hundreds of years. Cloven feet aside, these monstrous figures (really local youths with a love for tradition, with some casual sadism thrown in) are quite frightening to see, brandishing chains, whips, and switches at the townsfolk.
According to Der Spiegel, “On December 5, the day before St. Nicholas arrives with his sack of gifts, local men dress up in goat and sheep skins, wearing elaborate hand-carved masks. They make the rounds of village houses with children. When the kids open the door, they’re frightened by Krampus-clad men waving switches at them and ringing loud cowbells. In some towns, kids are made to run a Krampus-gauntlet, dodging swats from tree branches.”