All Audi's have a seperate amp somewhere depending on model and whether you have the Bose upgrade.
This is handy if you're just installing a sub as you can pick up the pre-outs (RCA's) and remote on trigger from the amp already in the boot.
For A4 B5 chassis non-Bose the amp is bolted to the left rear speaker, feeding just the rears.
For Bose the amp is seperate underneath the rear shelf and feeds all speakers.
So yes, just run power through the bulkhead (easiest through the ECU cover, just under the drivers wiper arm). this drops through into the drivers footwell by prising up the top of the cover and using the grommet on the front.
Strip off the ends of a short RCA lead and tap into the rear pre-outs to get the feed for the amp.