I can see why people call Dennou Coil a cross between Lain and a Miyazaki film and in some ways that makes sense...
However Dennou Coil is as far from Lain as I can think of. Not only is the style, story and mood completely different but the themes are only similar on a superficial level. Dennou Coil does delve a little bit into what's real and what's not but at it's heart I don't think that's what it's about.
I'm not saying don't watch Lain but I don't think someone who enjoyed one would necessarily enjoy the other.