For best performance, today's semantic segmentation methods use large and carefully labeled datasets, requiring expensive annotation budgets. In this work, we show that coarse annotation is a low-cost but highly effective alternative for training semantic segmentation models. Considering the urban scene segmentation scenario, we leverage cheap coarse annotations for real-world captured data, as well as synthetic data to train our model and show competitive performance compared with finely annotated real-world data. Specifically, we propose a coarse-to-fine self-training framework that generates pseudo labels for unlabeled regions of the coarsely annotated data, using synthetic data to improve predictions around the boundaries between semantic classes, and using cross-domain data augmentation to increase diversity. Our extensive experimental results on Cityscapes and BDD100k datasets demonstrate that our method achieves a significantly better performance vs annotation cost tradeoff, yielding a comparable performance to fully annotated data with only a small fraction of the annotation budget. Also, when used as pretraining, our framework performs better compared to the standard fully supervised setting.