Advanced gravitational wave (GW) interferometers promise to routinely hear neutron star mergers later this decade. Seeing the electromagnetic (EM) counterpart would be a litmus test for whether these mergers are indeed the long sought site of r-process nucleosynthesis (and produce half the elements heavier than iron). However, the challenge is unambiguously identifying the predicted faint and fast EM counterpart in the coarse GW localizations. I outline ideas for a strategic search based on end-to-end simulations that leverage the sensitivity limit to the local universe. I present the rapidly growing inventory of transients in the local universe that are fainter, faster and rarer than supernovae. New classes of transients have bridged the luminosity gap between novae and supernovae and represent missing pieces in two fundamental pictures: the fate of massive stars and the evolution of compact binaries. The next frontier in gap transients is the discovery of an EM-GW merger. The surge of EM-GW excitement may literally be the 21st century gold rush.