Not Coastguard but I am Lifeboat crew (volunteer), which I really enjoy and find pretty rewarding. We carry pagers and am on call anytime I’m in town and sober, I’d imagine coastguard would be similar set up but less afloat than us obviously (we only see them on a shout so don’t know much about how that side of it works). I think our local one has weekly training nights and then extra training/courses etc as and when.
I’d recommend dropping in to your local one for a chat and asking to go along to one of their training nights, geography in your area will make a difference to what their usual tasks are and what you’re most likely to get up to.
Also check out the lifeboat if you’ve got a local station and fancy playing on boats, probably need to be <5mins from the station to be considered, maybe a bit further if they’re short.