Go to Autozone/Advance Auto Parts and get your ECU scanned for the fault codes that triggered your CEL. Record the codes, and post them in a new thread. This will eliminate the "I have a CEL, what next?" type threads.
Good investments:
www.ross-tech.com (Vag Com diagnostic software for laptop/PC)
http://stores.ebay.com/mechanic-doctorMD (Universal OBD II code readers)

Anyone can guess as to why you have a CEL, but you MUST have the fault codes retrieved from the ECU with a scan tool or laptop diagnostic software (Vag Com) to pinpoint the cause or point you in the right direction. The OBD port is under the dash on the drivers side, and in some cases in the back seat ash tray panel.


ALSO!
If your CEL is flashing, that indicates a misfire. Get your ECU scanned. It should tell you which cylinder is misfiring. Take the coil pack from that cylinder and swap it with a different cylinder. Drive. Rescan for fault codes. If the misfire followed the coil pack you moved, you can be sure that its a bad coil pack.
If you have a 97-99 1.8t and the above method didnt resolve your issue, you likely have a bad ICM (ignition control module) or "ignition amplifier." Its located on top of the air box. They can be found on ebay for pretty cheap compared to what the dealer charges for the OEM bosch unit, and are equally, if not more reliable.
Those are the 2 most common causes for misfires.