Somebody called in with an issue like that on a recent episode of Car Talk. I think the suggestions included checking your coolant level and checking for air in the coolant lines. This was for a different vehicle, though.
Yeah I'm currently having issues with loss of coolant. The gauge has shown overheating twice in almost a year, and both times the coolant was low. The engine didn't seem very hot though.... The leak seems to be small.
Have the head gaskets been checked? Mine had a small leak on the left side and would drip onto the exaust, causing a sweet smell to enter the cabin through the fresh air intake vents. I was aware of the leaking HG and kept a close watch on the coolant level.
Had the same problem with my WRX. Turned out there was a pinhole leak in the radiator and I was losing coolant. When I was at idle there wasn't enough coolant in the heating core. When at speed (i'm assuming here) the water pump was going faster and that had something to do with the heat coming back.