It seems like its stronger at pulling mucous and toxins. I have only pulled with coconut for a short time, possibly because it didn't feel like it was working. But also because it was harder to deal with than sesame.
I think that one of the most important things about oil pulling is to make things easy for yourself from the beginning so that you want to keep doing it. So its not really all about the type of oil, but rather, the ability to keep with it everyday and never stop.
However, everybody is different, and maybe I am biased because I have had amazing results with sesame. But if I were to recommend an oil, it would def be sesame.