Almost universally, coal is cheap only because it's subsidized under dubious energy security et al. schemes: besides explicit monetary subsidies, government also helps evict people from the site of your open-cast mine, government makes sure you can sell your energy profitably, government turns a blind eye when you don't meet environmental guidelines, government believes in "Clean Coal" and gives you money for research, ...

Many of the same things are true of other types of energy generation as well, of course.