John,
A coal stove may be the most satisfying from a railfan point of view, but what about fire and burn hazard? A derailment could set a wooden car on fire. If you read about old train wrecks, most casualties came from fire. Also, a child or adult could easily touch or bump into the stove, especially with the train in motion.
I remember a thread on hot water heaters last spring, but I don’t remember which board it was on. I think there are some modern equivalents of the Baker heater that are available. The piping would run along the baseboard and the furnace/boiler could be located internally at one end of the car, or under the floor if possible. Contact Mary Knox at the Huckleberry and he can tell you how much they spent on the gas fired hot air systems they use. I would expect a hot water system would be more expensive, but it might be the most effective and worth the extra cost.