If you use standard OSB or plywood, give it several coats of paint, especially on the edges of the ply or OSB. This will help reduce moisture absorbtion.
Use presure-treated wood for the bottom where it will set on the ground. And as everyone has said cover it so rain and snow won't get in the coal. It will freeze into a single lump, and you will really have to work to break it up. [been there, got the T-shirt
If you are going to have coal delivered, a hinged roof is a neat idea, or at least a door in one side for the coal chute from the delivery truck.
A built in delivery chute to feed your five-gallon bucket with a knife-valve door is a nice touch as well.
Go to the various coalbin threads, there are lots of photos and ideas.