I was using Coin under the LGPL. What does the change from LGPL to GPL mean for me?

Both the GPL and the LGPL are Free Software licenses. The main difference is that, given that one fulfills a set of restrictions on how the executable is distributed, the LGPL permits the use of the library in proprietary programs, while the GPL does not allow that under any circumstances.

In the concrete case of Coin, this comes down to:

If you write a Free Software application, licensed under the GPL or another compatible Free Software license, you are allowed to link against Coin. If you write a proprietary application, you are not allowed to use Coin under the GPL, you have to acquire a PEL.