It is most commonly dropped from Dust Sprites, which are found in the ice levels of the Mines and have a 50% chance of dropping coal. If all else fails, Coal can be purchased from Clint at the ...

Coal is one of the basic resources ... Entrance to the Mines dungeon. (Image via ConcernedApe) Dust Sprites are small spherical creatures found between Floors 41 and 79 of the Mines.