Front Brakes:
Tools: 7mm Hex Key, Needle-nose or similar pliers. 17mm socket and wrench for lug nuts. Torque wrench recommended. Possible need for C-Clamp or large pair of pliers (for pushing piston back on front calipers).
Put car in gear and engage emergency brake.
Remove plastic caps over lug nuts using Audi's U-shaped plastic tool (see tool kit or glove box).
Loosen lug nuts.
Jack up front wheel (see jacking points in owner's manual). I used a small floor jack instead of Audi's jack.
Remove lug nuts and remove wheel. (Recommend using jack stand under car somewhere, but you don't have to get under the car).
On the back side of the caliper, near top and bottom, you will find 2 black plastic plugs, about 1/2" diameter. Pull these out by hand. Behind these plugs are the hex bolts.
There is a wire "spring" on the outside of the caliper. Pull it off with pliers. It has a few pounds of tension behind it, but isn't that bad to remove or re-install (can actually be done by hand).
Remove the two hex bolts with the 7mm hex key or equivalent. (I think 7mm was the size). Mine weren't on all that tight and they were easy to get out.
Now the main part of the caliper is loose. Pull it straight back. It will still be attached by the brake hoses (and ABS wire?). Lay the assembly down on top of the nearest suspension member, so it isn't hanging by the hoses.
Remove the back pad. It just pulls out. It has a neat 3-prong clip that holds it to the inside of the caliper piston. Remove the front pad. On mine, it was essentially glued to the caliper, so some force, or a screwdriver might be required. I think the "glue" was applied by Audi to absorb vibration and reduce squealing.
Take note if there are any arrows, etc. on your new pads indicating which side is up (same as which way the tire rotates going forward). The original Audi front pads have these. My Ferodos and the Audi rear pads didn't.
Install 2 new pads in the same way as the old ones came out. You'll have to decide what to do about the "glue" situation. There was enough left on my calipers that the new pads stuck to it pretty well. Or, there are commercial rubberized coatings (liquid or spray) that you can apply to the backs of the pads to reduce the tendency to squeal. I used one of these when I reinstalled the original pads.
Try to fit the caliper back into position over the rotor. If the pads you are replacing have nearly all of their original thickness remaining, it might fit. If not, you will need to push the piston back into the caliper enough to make it fit. I didn't have to do this (in front). It is probably too hard to do by hand. In the past (other cars), I have used a C-clamp fit over the piston and the back of the caliper to push it back. (Protect the piston face with a scrap piece of wood). Or, a large pair of pliers would work similarly. Note that as you push the piston back, the level of fluid in your master cylinder reservoir will rise. You might have to remove some. (A clean turkey baster works well as a siphon for this).
Reinsert the 2 hex bolts and tighten. (Try to get it about like it was, somewhere between falling apart by itself and breaking something. I don't have the torque spec.) Reinstall rubber plugs.
Reinsert the spring on the front with pliers.
Clean up/wash/wax wheel, front and back, if you have the time or inclination.
Put wheel back on, snugging up lug nuts (not final tightening) while wheel is still in air.
Lower car. Use torque wrench to tighten lug nuts. 80 foot-pounds is the Audi spec for my 2.8 wheels. Push plastic lug nut covers back onto nuts.
Repeat with other side.
Note: Your new front pads might come with a wire and connector hanging from them. This is a wear sensor used on some models, but not the A4. Just cut it off close to the pad.