I'm currently using a cheapo coccyx cushion I bought from Walgreens, but I've been eyeballing this one: http://wondergel.com
I think once this cushion wears out, I'll give the Wonder Gel one a try.
I tried the double thick one and had to take it back, it cuts into your thighs at the front edge if you use it in a car. The single one was ok, using it in my computer chair right now. It's actually kinda lumpy feeling though, maybe you will have better luck. Got it at Bed Bath and Beyond if you want to get one locally, that way you can return it if it isn't what you want.