About twenty minutes into the doctor Who Season 2 premiere, not long after she's possessed by Cassandra, Rose's jacket just disappears. What gives?
Cassandra seems to have taken it off while she was admiring Rose's (ahem) physique. She's still wearing it at 15:10 while she's using the mirror. We then cut back to her at 16:22, still checking herself out in the same mirror, and the jacket is gone, presumably so she can get a better view of Rose's (ahem) front.
At the end of the episode, she doesn't have it on again, nor do we ever see it again. It would appear that it just got left in the secret ward.