There is a tradition that Santa Claus leaves coal for naughty children. When a person says that they expect coal for Christmas, they usually mean that they have been naughty. [source: https://star101.gu/knut-fm-news/337894] [excerpt] The tradition of giving misbehaving children lumps of fossil fuel predates the Santa we know, and is also associated with St. Nicholas, Sinterklaas, and Italy’s La Befana. Though there doesn't seem to be one specific legend or history about any of these figures that gives a concrete reason for doling out coal specifically, the common thread between all of them seems to be convenience.

It means getting a gift that wasn't very well thought out. It probably has it's origin in England where most houses were heated by burning coal. Perhaps it is Christmas Eve and the father hasn't bought any presents for his children because he's too busy to think about it, or he's too lazy, or he's just not interested. But he has to give them something right? He's not a jerk, right?! So he picks a lump of coal out of the coal box and wraps it up as a present. "Here son, Merry Christmas!" So "getting coal for Christmas" means you got something that wasn't very special. It could also mean you got nothing at all !