In a large bowl, dissolve yeast in water. Add sugar and flour, and mix. Dough should be soft but not sticky. Add a little more flour if it is too sticky. Let dough rise for 30 minutes.
Cut dough into 12 pieces. Roll pieces of dough into 16-inch ropes. To make pretzels, curve ends of each rope to make a circle; cross ends at top. Twist ends once and lay down over bottom of circle. Spray cookie sheet with baking spray. Arrange pretzels on sheet. Brush on egg and sprinkle with coarse salt. Bake for 12 to 15 minutes, or until golden.