www.cafepress.com is a great place to get all sorts of stuff personalized. We've done t-shirts, water bottles, etc. They are super fast with their shipping, too. They have pre-made slogans/sayings, or you can customize your product with a photo and /or your own message. We did a teacher's gift as a tshirt and the kids signed the back of it.
A handwritten note telling him how much he's taught your son - from both your son and you.
You could go with a baseball gift basket. Find a water bottle, baseballs, gum, seeds, Gatorade, ball cap....anything that says "baseball" and wrap it up in a bucket or tub.
Whatever the gift, I would make sure a thank you note is the prominant idea. That's very nice of you. I think coaches often get a whole lot of criticism and not enough thanks for their committment. Good luck.