The end of my tail bone on the right side I feel a throbbing pain that got better with hot shower. What could this be?

Many things. Tailbone pain can be frustrating (for patients & providers) and can be from many things. These are actual "joints" between these bones so arthritis is possible. Bruises are common, as is inflammation (ligaments & soft-tissue). Skin problems like infections, cysts, and even shingles can cause pain on one side as well. Try some motrin, warm soaks, and time. If not improving, see your dr.