...Owning a B5 Audi is a bittersweet relationship. How long have you had it and how many miles are on it?
I will preach that, especially the s4. I used to drive a santorin blue s4, anyways, id be happy to answer any questions you have about the car. Most of these guys know as much or more than i do as well, so dont hesitate to ask.
As for exhausts. Milltek is definitely good, also take a look at APR's exhausts. They're a bit less expensive, but have a great exhaust note, and are good quality. Plus, if you pick up a pair of diverter valves and some APR software with it, you will have a seriously quick ride.
Also. Start a new turbo's fund right now. Im suspecting the car is probably fairly high miles due to age, so they're gonna take a dump pretty soon.