I have tried some telephone coaching in the past for the purpose of working on my time management and some other business issues but I agree the success of this largely depends on finding the right coach. I'm not sure I found the right coach for me and I didn't get a lot out of it, however I think this was also due to the fact that I was trying to focus on too many things at once.
I would say that you need to be very clear about what you intend to get out of the coaching relationship. With only an hour or so for each session (whether face to face or by phone), you don't have a great deal of time to cover a lot of different issues so it certainly helps to focus on one or two things at a time otherwise the effort of both you and the coach can become diluted.
Its a different type of coaching, but one area where I have found coaching to be very effective and certainly worth the investment is with my fitness goals. I have been working with my current personal trainer for about 3 months now - and in the realm of fitness (specifically weight training for me) I have found this to be of tremendous value. I would say the biggest benefit I've found is that my trainer knows exactly what my goals are, and he reminds me of them in the moments when I'm just about to give up or I'm not putting 100% into it.
I see my fitness training as a big aspect of my personal development and I know that the money I spend on personal training will benefit me both in and outside of the gym.