Thats no Moon, Thats a space station!
I used to have a similar issue with my 8L S3 it did it because it didnt recognise the driver door was closing and therefore would not enable the alarm so the red lights didnt flash. If i slammed the dorr a couple of times it would eventually work properly. It was worse in the hot weather not sure why though.
So maybe one of the microswitches that tells the car if the doors, bonnet, boot etc isnt working so your alarm wont arm.
Audi S3 8L BAM 225 2002 - Ming Blue : Silver Heated Leather, Armrest, RNS-E & Bose, Alloy Mirrors, Gunmetal 18" RSTT`s, Sunroof, Cruise, AutoDim Mirror & usual S3 extras.
Mods : Revo Stg 2 & Select+, FMIC, 3" DP & 200 Cell Cat, 007P (New Piston), Jetex Filter & 80mm TIP & Heatshield, LED Sides & Fogs, Gen VW Aero Wipers, Full Powerflex Kit, Lowered on AP Shocks & Springs, 15mm Front & 20mm Rear Spacers, N249 Delete & Catch Can, AP TVR 4Pot Brakes & DS2500`s, Sachs DMF & Carbon/Kevlar Clutch