"Thank you for coming" and "Thank you for your coming"

The first example is correct, as you are obviously aware.

The second has slightly seedy connotations - the coming belonging to you. In this day and age, with 'come' having some interesting meanings, I don't think it would be entirely appropriate to use this phrase.

Your first example is a participle, similar to I am grateful that you came, which is perfectly normal. The second would be a gerund, similar to I am grateful for your arrival, and sounds just as strange as that sentence, perhaps because your arrival is less your responsibility than the decision to make the trip; the arrival will depend on other factors. The second, as Barrie pointed out, also has unfortunate connotations.