I had this same pain!! I ignored it for months and finally when it became too unbearable I went to my primary doctor. At first they thought it was a pilonidal or a fissure, those didn't check out. so my primary thought maybe I had a small cyst under the skin so he tried abstracting fluid with a needle, needless to say nothing! So he decided to have an MRI w/o contrast done and it showed something, the radiologist came out and wanted to do another MRI with contrast so we did and there it was, I had a tumor in my pre sacral space it was a 5cm tumor which was pressing against the very end of my tailbone. Retro rectal Cystic Hematoma (tail gut cyst)
http://www.redorbit.com/news/health/232385/tailgut_cyst_retrorectal_cystic_hamartoma_report_of_a_case_and/
Cysts are unlikely, here's reality, severs unknown factors can cause pain in this regional area, here are a few known hemorrhoids,anal fissures, which is a small tear in the sphincter, inflammation of the coccyx itself, can occur suddenly and for no apparent reason, if the pain hasn't gone away by now, I'd get an xray of the coccyx and sacrum to be sure that something didn't happen that you're not aware of or don't recall happening.
Do you have a fever?
This could be a pilonidal cyst, caused by an anaerobic bacterial infection. They are very painful, but easily treated with the right antibiotic.
i also started taking Advil to stop the pain. It only helps for the laughing, sneezing, or standing up. I still have the sitting pain.