Carbon capture and sequestration (CCS) of CO2 is still in very early development and pilot testing, so costs are quite uncertain, and it is not in use in any reasonably sized coal plant in the US. For all plants >60MW planned to have CCS, they are either still in planning or under construction [1] (note that 60MW is a relatively small power plant).

Quite separate from CO2, there are NOX wet/dry scrubbers and flue gas desulfurization units (removal of SO2). While having a very helpful large reduction in fine particulate (PM2.5) and ozone downwind health impacts (SO2 and NOX form PM2.5 and O3 downwind), it unfortunately does not remove CO2 emissions.

In talking to power companies, my guess is that natural gas is being switched out for coal for many reasons, some more subtle. In part due to new PM2.5 and ozone regulations, in part because in some years it has been cheaper than coal due to new extraction techniques (fracking), and in part because it is easier to dispatch natural gas plants (ramp up and down) to meet electricity demand or high variance renewable energy generation like solar and wind (large spikes in generation).

[1] http://sequestration.mit.edu/tools/projects/index_capture.ht...