Thought I'd do this as I know how much of a pain it can be getting your hand into the rear of the headlight so hopefully this helps someone!
You will need a H7 Bulb, a jack (preferable trolley jack but the one that comes with the car will suffice), locking wheel nut key, a basic torx set and alot of patience.
This was done on a 2009 (facelift) A3 with halogen headlamps, the drivers side dipped beam had failed
Okay so if your car has turned into a one eyed monster like below, this will help alot.
Same procedure for the passenger side, and the main and DRL bulbs will follow the same.
Get your tools and jack the car up - remember to put the car in gear (if manual) and Park (if auto) with the handbrake on.
Put your jack at the points shown on the sill.
For extra leverage, I have a long metal bar which fits nicely over the nut brace and this makes removing the nuts a far easier job.
With the wheel now removed, now get your torx set and undo the three screws shown.
Once these are removed, peel the upper arch back from the outside, jut enough to get your hand in. At this point you will hear alot of dirt and stones bouncing around - nothing to worry about.
Now look up and look for the big round circular disc as shown below, twist this to the left and pull it out.
With that removed, now look for the bulb holder, mine was closest to the side of the car. Grab the little paddle and twist it to the left, the bulb will now release.
You can now go up to your engine bay and change the bulb, pull it out and line up the guides on the new bulb.
Be careful not to touch the glass on the new bulb as grease/dirt may cause it to fail prematurely
Now slide the bulb back in (dont tighten it) and switch them on and test.
If the new bulb works, get back into the wheel arch and line the little paddle at each end at 2 o'clock and 8 o'clock and twist to the right.
Get the cover and again, put each end at 2 o'clock and 8 o'clock and twist to the right.
Screw/tighten the screws you removed and put your wheel back on.
Admire your good work
REMEMBER - TIGHTEN THE NUTS IN OPPOSITES AND DO YOUR FINAL TIGHTENING WHEN THE WHEEL IS ON THE GROUND AND THE JACK REMOVED
Hope this helps