So you're looking to upgrade your S4, great!
What mod should you do to gain the most horsepower?
Engine management upgrades on audi's equipped with turbo chargers like the 2.7T are by far the most bang for your buck.
We will start with the easiest way, a chip.
There are 3 major companies that provide chips, APR,GIAC, and MTM, the most common are APR, and GIAC. APR will provide the lowest HP gain but the drivability is much better and provides smooth engagement and should provide about a 50 HP gain. The GIAC chip is more aggressive and lets you change your tuning once its in there and should provide about 60+ HP gain.
MTM isn't widely known in the states but can provide massive HP gains depending on what chip you buy, mainly 70+Hp gains, but you must know that the stock k03 turbos won't last very long with this chip because it will be spining much faster.
Lastly REVO is a up-load or flash to the ecm that can be tuned to your specific set up, fuel injectors, turbo size, ect. REVO generally will dyno tune the engine for specific setups and will get you major horse power but will cost you a lot more.