If someone brought me coffee, I might use any of the above phrases except the following which does not sound natural: You brought me coffee, so I thank you. All the others sound natural and are fully interchangeable.

"Thank you for bringing the coffee" You are thanking the person for bringing (in particular) the coffee. "Thank you for bringing me coffee" You are thanking them for bringing YOU the coffee, emphasising the fact that they have done you a good deed. "Thank you for the coffee" A simple thank you, but with a focus on the object. "You brought me coffee, so I thank you" You wouldn't really say this. But it would mean that you are thanking them only because they brought you the coffee. "I appreciate the coffee" Technically you aren't thanking them, but in most dialects this would be understood to mean the same thing. i.e. "Thank you for the help" and "I appreciate the help" are understood to be the same. All in all, they roughly mean the same. But as you have obviously realised, there are always going to be slight differences in meaning, and they are difficult to explain. Give it time and you'll understood as poorly as the rest of us natives! :D