ABS and Traction Control Light On

I have a 2006 jetta tdi BRM. The Traction Control light and ABS light and Airbag light stay on constantly. I am wondering were to start troubleshooting the issue.
I know i need to get it scanned but any suggestions as to where to start first.
Electrical fault? ABS control module?

I got a estimate for the ABS control module from the dealer 800 plus taxes.
Are there cheaper aftermarket ones that i can use in the worst case scenario or do i need to buy one from the dealer?

Start with a scan, it could be the clock spring or even just a bad connection or sensor. There's really nowhere else to start. The fault codes will point you in some sort of direction.

A simple faulty speed sensor at one wheel can throw the abs and traction light on so yeh, scan first for sure.

If it was just the abs/ traction control light, then it would probably be a wheel speed sensor. Since your airbag light is also on the only place the two system intersect is the steering wheel. As seatman pointed out, the clockspring is shared by both under the steering wheel.

Does your horn work. How about any other steering wheel controls? Getting it scanned is a first step, inter web or dealer guesses are just going to cost you money that may not fix the problem.

Scan tool. Until then, guess are all you can get, and those are useless.