[RPG] In what situations would players use a coup de grace

I think that for this one you're going to have to step outside of the rules and say that the combatant in question stabs himself in the chest or other extremely vital area. 4e combat rules assume that you want to do damage and not take it; I don't think you are even a legal target for your own attacks. 4e may have tighter and more encompassing rules than earlier systems, but that's no reason to forget Rule 0 when it comes to things that are out of scope for the combat or skill systems.

EDIT: The OP changed the question to be more rules-based, so here's my effort. I'm using the Rules Compendium for this.

• By the rules, a PC can attack themselves, since MBAs have a target of "creature" and an attack with a range can legally hit someone in your space.
• It's not even clear that monsters can hit PCs, if you take the most pedantic reading; I cannot find a definition of the legal target set for monster basic attacks. I would assume "creature" here, but that's an assumption.
• Even if you can blind yourself by shutting your eyes - this requires Rule 0, because shutting your eyes is not a defined action - the total concealment penalty is greater than the combat advantage bonus.
• You cannot "declare" yourself helpless as such. However, if you could, you could attack yourself with combat advantage; helplessness only results in granting combat advantage and nothing else! A more normal, but Rule-Zeroed, approach would be to say that you cannot attack, in which case you can't attack yourself either.
• You cannot coup de grace yourself; the rules specify an adjacent target, not one at Melee 1, and the definition of adjacency uses two squares. A Large creature would presumably be adjacent to itself, however, since it is in four squares.
• None of the other status conditions causes bonuses to damage, and aside from coup de grace, I don't know of any of the normal combat actions that cause bonus damage.

I think the rules-based answer is that you (i.e. the troll) can keep MBAing yourself until you drop, but you can't really go faster than that without Rule 0.

First and foremost: If you haven't read this, stop now, go read it.

Second, L3 is kind of a lousy level for Roguish armor. L4 has some good choices (Bloodcut, Battle Harness, Flowform). But if you've got to pick from the L3 lists let's see what we've got: (not hitting everything, I'll hit your two and a few more that are good)

• Bestial: nice if you charge, but if you don't then it's not worth the paper it's printed on.

• Nightmare Ward: incredibly situational, you can't afford that, find stuff that aids your core goals. Unless you've got a campaign situation that merits this.

• Sylvan: bonuses to Athletics and stealth are nice. Mostly just stealth.

• Serpent Skin: Nice daily shift that's very handy. You're already pretty shifty, this enhances that.

• Skald's: +2 bluff, Diplomacy. Daily to retarget an attack against you (including to an enemy).

• Thought Eater: +2 Stealth. Daily to get concealment

• Veteran's Armor: Attack bonus is one of the most important things in 4E, and this helps with it.

Not many good options here. I'd suggest the serpent skin or skald's (probably the Skald's armor is the best one at the level).