Volkswagen: Volkswagen 2001 Golf Starting Problem, spark plug wires, hairline cracks

Question
I have a 2001 VW Volkswagen Golf 4cyl 2.0L GLS.  It runs well and in general has no problems except this:  
I drive it for 15-20 minutes and stop at a store.  If I come back out in 10-15 mins it starts fine.  Longer and it won't start.  If the time between starts is 4 hours plus then it fires up no problem.  This is not always the case as sometimes it works perfectly.

If I try and start it and it doesn't catch then I crank it over a few times and it still won't start.  If I leave it for 20 mins, then try and start it again it starts great. All the cranking and engine lights and feul pump sounds are there.  Everything sounds perfect.

I pulled the spark plug wires and shorted them to check for a spark and got nothing.  So I believe it is electrical.    I have tried both keys, have new spark plugs and a new battery.  The crank sounds great.  I thought it might be a fuel pressure issue due to the irregularity, but the lack of spark rules that out.  Now I am thinking about the anti-theft devices, but an immobilizer ussually allows it to start the engine, then shuts it off right away.  The problem is that over the last 2 months I can not make it do it consistently and can't figure out the pattern of why it happens.  There is never a problem once started and driving.  The car functions fine then.

Answer
Garrett I thank you for being specific and paying attention to your car.... I love owners that "know" what is and isn't happening.  Congrats!  First, you sound spot on with all you have "diagnosed" so far... with that said...Lets rule out the alarm for now, though these will create havoc on these cars and do things that they were never suppose to do.  Pull your ignition coil off and inspect very well for hairline cracks.  When these get hot, they can arch outside the coil causing a no start condition.  
Let me know what you find,
shad