Figures released for large UK coal fired power
plants - for example Drax which is the 2nd largest coal fired power station
in Europe.

http://en.wikipedia.org/wiki/Drax_power_station

It burns between 7 and 11 million tonnes of coal per year and produces on
average 24 TWh of electricity to the grid. I'll let you do the ground work
and calculate the approximate efficiency - but I think that you will fid
that it is well below 40%.

For the figures to be meaningful you have to specify the calorific value of
the coal being burned. Lignite (Germany, Poland, N. Dakota) is only good
for 8500 BTU/lb. Bituminous and semi-bituminous coals are generally around
12,000 BTU/lb.

The efficiency of the plant can be increased by designing it for higher
steam temperatures and pressures -

Explained here

http://www.mhi.co.jp/en/technology/review/pdf/e423/e423094.pdf

However this adds significant additional cost - and most power companies
have been reluctant to follow this route - they're running a business for
profit after all, not wishing to get involved in high-risk super-effiecient
thermal designs - and so compromise between cost/complexity versus
efficiency is a deciding factor.

This 2005 Japanese plant manages 43% efficiency

http://www.mhi.co.jp/technology/review/pdf/e451/e451011.pdf

Here's a wiki entry for typical efficiencies of turbine based thermal
powerstations.

http://wapedia.mobi/en/Thermal_power_station

This document explains increases in efficiency since 1920 about 20%, rising
to about 30% in the 1950s. Modern stations are often taken as an avearge
efficiency of 38% stating that the best we are ever likely to achieve is
about 55%, but for practical reasons summarised on the last page, suggest
that we are likely only ever to see efficiencies of between 40% and 45% when
the station is connected to a real world fluctuating load.

For practical purposes, you can assume that 60% of the thermal energy in the
coal is lost to the atmosphere

http://www.sealnet.org/s/8.pdf