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Check engine light on 1995 Volkswagen Golf

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My check engine light keeps comming on and off. There is no loss in performance that I have noticed. My thoughts are O2 sensor or cat?
(2) Answers
Check out the RepairPal article on the check engine light: http://repairpal.com/check-engine-light

This gives you the basic things to look for an should help get you started.
In addition to matte's response, go to an Autozone or other local parts house, they should be able to scan the computer for codes for free - Tell us the codes, and we can assist further.