RichCA, I went through this exact thing. Replaced coolant lines, thermostat, reservoir, you name it. Narrowed it down to head gasket after starting her up cold in the morning, and seeing smoke come out of the coolant reservoir a few seconds letter. Cost wise, if you already have the tools, it's a relatively "cheap" fix. While you're in there though, may as well do the timing belt too.
I had to buy tools, a torque wrench, the head gasket, the head milled, on top of the timing belt kit and an EGR delete kit for my broken head gasket.
It ended costing around $1000? all said and done (I didn't really keep track). If you already have the tools, and opt to not do a timing belt kit, it'll probably be closer to $4-500.
But I do know the stealership quoted me $1400 just for labor for just the head gasket.
Give Frank06 a call. He told me more than I ever needed to know about my head gasket and it's situation. I didn't have a budget to send mine to Frank, so I called around to my local VW tuner friends, and found their trusted guy for the job. I brought the printed off specs for milling the head from the Bentley manual with me to the shop and told them to follow them to the T. They did just that, and that was 10k+ miles ago *knocks on wood*
TL, DR: I'm a newbie that had the same exact problem, and fixed it myself thanks to the help of guru's on this forum.