I'm not a fan of the word "coating", which you'll understand in a second.
IMO the first thing I recommend people understand is the two basic types of finish (not necessarily "coating") you can put on a deck. They are called film forming finishes and penetrating finishes. A film forming finish puts a coating on your deck. In other words a substance that forms a layer of solids on top of the wood. A penetrating finish leaves very little film and the majority of the substance soaks into the wood.
In fact I also don't like the way they use the term "stain" when referring to deck finishes in the industry, but most of what is sold as "stain" is not stain at all. Look up the definition of the word stain in the dictionary and you'll see it's not what is being put on most decks. It is mostly basically paint, which forms a solid film on top of the wood.
The reason it's important to make this distinction becomes clear when it comes time to maintain your deck. Once a film is formed, as gymschu said it is going to fail to a certain extent in time. And then it becomes a question of how to you maintain it? Once a film starts to fail, it peels and blisters in spots. There is really no good way to fix this problem other than removing the finish right down to bare wood and starting over.
This is not the case with penetrating finishes. Once this starts to wear, nothing really goes wrong. Normally you simply need to clean the deck and reapply the same finish again. This is the case with a simple product like ReadySeal the coconut mentioned. It's a penetrating finish that some people complain about in terms of longevity, but I would never hesitate to recommend it. What would your rather have - a penetrating finish that lasts a couple years (maybe only one for the first recoat) or a film forming finish that might last an extra year before the first recoat, but requires a completely chemical or mechanical stripping and then starting all over?
There are exceptions. Sometimes a film doesn't peel for awhile but just gets some wear spots, in which case you can just sand and refinish. But eventually almost all of them require complete refinishing. An analogy might be waxing your car finish every few months, or completely redoing the paint job every few years. That analogy only works in terms of how much maintenance costs, not how the finish works