After doing a lot of reading, I learned that most cold air intakes are not recommended for the B6/B7 Audi S4 as they tend to just suck in more hot air than anything else, so I opted for a simple K&N air filter to replace the OEM as my air intake upgrade of choice. In all likelihood, the car still had its OEM air filter from 2006 in it (despite the car being old, it only had 24k miles when I bought it so it was unlikely the previous owner replaced the air filter), so a replacement filter was more than a good idea by now. Likewise, K&N gets very good reviews by enthusiasts, and even my Audi mechanic/master tech recommends & uses them.
Installation was very simple. I followed this guide on EuroAddiction and it took about 15 minutes, using only a phillips and a flat head screwdriver. The only thing I did differently was that I took the K&N filter out of the packaging the night before to let it air out some prior to installing. A few K&N users have reported that their filter was over-oiled and literally dripping wet with oil, which could be a bad idea to install as too much oil could potentially harm the MAF (mass airflow sensor). Once the filter has sat out overnight and any excess oil has been removed or evaporated, you can pretty much pop it right in. Be careful moving the hoses out of the way, as they can be brittle – the upper radiator hose is especially fragile, so be delicate there. Once the filter is in, put everything back the way you found it and you’re all set!
So far, the K&N seems to be doing a good job. I haven’t noticed any dramatic difference (nor should I from a simple air filter), but it’s always good to replace your air filter from time to time to ensure proper airflow to the engine. An old or damaged air filter can rob the engine of horsepower and hurt fuel economy, so grab one of these for a simple, cheap & effective mod for your 2003-2008 B6/B7 Audi S4 with the 4.2 liter V8!