1. Preheat oven to 350°.
2. Arrange bread in single layers on 2 jelly-roll pans. Bake at 350° for 20 minutes or until golden, rotating pans after 10 minutes. Turn oven off; leave pans in oven for 30 minutes or until bread is crisp.
3. Melt butter in a large skillet over medium heat. Add onion and celery; cook 11 minutes or until tender, stirring occasionally. Transfer vegetables to a large bowl. Add sausage to pan. Increase heat; sauté 8 minutes or until browned, stirring to crumble. Remove sausage from pan using a slotted spoon; add sausage to vegetable mixture. Stir in bread, herbs, and pepper; toss. Combine broth, 1 cup water, and egg, stirring well. Drizzle broth mixture over bread mixture; toss. Spoon mixture into a 13 x 9-inch glass or ceramic baking dish coated with cooking spray; cover with foil. Bake at 350° for 25 minutes. Uncover and cook 20 minutes or until browned.