Vestigial structures are those that have lost their primary or main function through the evolutionary process, although they may still maintain some kind of function. One of the best clues to whether a structure is vestigial is the presence of similar, functional structures in other organisms. The technical definition of vestigial organs is an organ for which the function does not confer enough of a survival advantage to be retained via evolution, as compared to the random effect of mutation.
For instance, canines and felines have the ability to make endogenous (self-produced) vitamin C; this ability is coded in the form of a series of functional genes within their DNA. Primates, including humans, have lost the ability to make the vitamin endogenously, although they retain a non-functional copy of the gene within their DNA. This broken gene is a vestigial structure: it was functional at one time but has since lost that quality.
Each of the structures that you describe above has functional analogues in other parts of the animal kingdom, but humans have lost the primary function in each case.
The coccyx is the remnant of what would be the bones of the tail; it still serves as a point of muscular attachment, but obviously no longer functions as a tail.
Many animals have the ability to move their ears to more closely determine the direction of incoming sounds (e.g., felines, canines, deer, and horses). Humans retain those muscles, but they are mostly nonfunctional; even in people who can move their ears, this ability has a negligible effect on hearing.
In animals that have significant amounts of fur, the ability to move it (termed piloerection) has a significant effect on heat retention. Humans have lost essentially all of their body hair, but do retain the muscles of piloerection; erection of hair can still be achieved but has little effect.
Similarly, the muscles that move the big toe are responsible for grip and stability in tree-dwelling primates. Obviously, this ability has little significance for humans today.
The wisdom teeth were useful when humans ate diets consisting primarily of plant matter; large, flat teeth are useful for grinding down plant tissue, which was essential when human diets were plant-heavy. We lack the ability to efficiently digest cellulose, which could be compensated for to some extent by the increased mastication resulting from wisdom teeth. Since then, we have also changed diets to de-emphasize plant matter with a corresponding increase in protein. As such, wisdom teeth have little purpose today; for many people, the jaw has also regressed to the point where the wisdom teeth do not fit within the bone and must be removed surgically.
The appendix is a remnant of part of the cecum, which in herbivores is more developed and responsible for the digestion of cellulose from plants. Humans have since switched to a more protein-heavy diet, and the function of the cecum in digestion of plant matter has since become much less important.