Unidentified coolant leak

I'm driving along normally and suddenly my temp. warning light comes on. Temp is reading normal on the gauge so I figure my coolant is running low.
When I get home I check under the hood and there is NO coolant left, its completely empty. Strong smell of coolant under hood but none from exhaust.
Bottom of engine bay is splattered with coolant, can't seem to figure out exactly where the leak is but it seems to be on the back of the engine near the bottom.
Any help or tips to where or what the issue might be would be appreciated. I plan on fixing it myself.

Specs:
MK5 jetta tdi
BRM engine
301k km
Manual transmission
Stock except for rear muffler delete

EGR cooler may be leaking, as may the heater core hoses. Both are common failures on your car.

IndigoBlueWagon said:

EGR cooler may be leaking, as may the heater core hoses. Both are common failures on your car.

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Thanks. I'll check those spots first.

There is one more place you can check: flange underneath the tandem pump.
That was the issue in my case:
http://forums.tdiclub.com/showthread.php?t=394030

Max