Hang your coat on a door outside of your closet so that you can get busy and start removing any existing lint. Hang it at a level where you can easily reach it, but not so low that it's touching the floor and picking up more lint or other particles.
Brush over the surface of the coat with a lint brush or a roller. Depending on how much lint is already on your coat, you'll need to stop several times to remove the lint from the brush or remove a lint covered sheet of the sticky paper that makes up the lint roller. Continue making passes over the coat until you've removed as much of the lint as possible.
Set aside your brush and look the coat over. If there's still fuzz and small amounts of lint that your brush or roller couldn't reach or didn't pick up, then use a small clothes shaver to gently groom your coat and remove them.
Mist the surface of the coat lightly with an anti-static spray that you normally use for laundry to keep static at bay. Let it dry completely before putting it on.
Hang your wool coat up when you're not wearing it. Tossing your coat down when you're in a hurry is only asking for trouble of the lint kind -- don't even mention fur if your have a cat or dog. Instead, hang your coat back in the closet and keep it away from items that love to share lint, such as fuzzy sweaters.
Store your wool coat in a garment bag during those non-winter months when your coat's not needed. This will help to keep it protected and will keep the lint collection at bay.
If you don't have a lint brush or roller, wrap tape around your fingers, sticky side out. Press your tape wrapped finger against any lint to remove it.
Use a dryer sheet if you don't have an anti-static spray in your arsenal of laundry products. Wipe the sheet over the surface of your coat.