Like Dustan has stated, there isn't a significant difference between them. It's more of a subtlety, if anything, that separates them.
In physics, coefficients refer to actual physical things. In mathematics, it's not like that. Mathematics tends to characterize general abstractions. For example, in the quadratic equation $ax^2+bx+c=0$, there is nothing physical about $a$,$b$, and $c$. They don't represent any physical thing. However, in $F_{\text{friction}}=\mu N$, $\mu$ represents a very real thing: The coefficient of friction for a particular substance.
Perhaps an equivalent way of looking at this illustrates things better: Physical coefficients are applied mathematical coefficients. For example, $ax^2+bx+c=0$ is a quadratic equation that can become the equation for distance: $d=d_0+v_0t+\frac{1}{2}at^2$. This is done by noticing that:
$$x=t, a=\frac{1}{2}a, \, b=v_0, \, c=d_0-d$$
In this sense, the quadratic's coefficients now have physical meanings. Before, they were simply symbols of abstraction. A simpler example would be the equation for linear thermal expansion: $$L=L_0+L_0\alpha \Delta T$$ This is simply a linear equation of the form $y=mx+b$ where
$$y=L, \, x=L_0, m=(1+\alpha \Delta T), b=0 $$
Just like before, the coefficients now take on a meaning, rather than just being an abstraction. Also, note that the coefficients--like in the abstraction--are things we know whilst the $x$ is something we don't know. (In most cases of this simple problem, $\alpha$ and $\Delta T$ are known quantities.)
Yet another example would be:
$$v=v_0+at$$
where this equation takes the form of, again, $y=mx+b$ with
$$m=a,\, b=v_0,\, x=t$$
$a$, acceleration, is usually taken to be constant and the intial velocity, $v_0$, is always constant. I hope this has illustrated the point better. :P
(Some of my remarks here are debatable because these equations are not the more complex and Calculus-esqe equations that describe the same thing, so take them a bit lightly. There are assumptions in all of these equations, I think.)
Is there some kind of list of coefficients according to what they do?
There is this:
http://en.wikipedia.org/wiki/Physical_constant
Constants are just coefficients that don't vary and occur a lot. For example, acceleration due to gravity (on the Earth) is $9.8$ m/s$^2$ and is a particular value of the coefficient $a$ (when $a$ is taken to mean acceleration, of course). Here is another good reference:
http://en.wikipedia.org/wiki/Variables_commonly_used_in_physics
I also use this a lot to understand some of the basic facts of the variables in Physics, a lot of them being coefficients: http://en.wikipedia.org/wiki/List_of_physical_quantities