As quoted from here:
http://autorepair.about.com/library/glossary/bldef-389.htm
So what is it called then??
Beacuse the point where the car comes on boost/large fraction of the power is available on the S3 is 2500rpm, there is a delay whilst the car get there, from its idle speed of 950RPM, therfore called lag. Drive a 335D, or 335i, Golf GTI and you'll realise who laggy the S3 feels in comparison. Its not bad compared to older cars, like you pointed out, but it is there, and, as I've already mentioned is something you learn to drive around.
In answer to the intial question, yes it does have turbo lag, or whatever anyone wants to call the time between when the accelerator is depressed and the turbo kicks in. Quite a lot of the time I drive mine without even coming on boost.
Best advice I can give to you, tobycruse, is get one for a long test drive, maybe 48hours + (like it did), and you'll soon realise that with all the car's plus points, this soons fades away into the background, as the car is relally good fun to drive, on or off boost.
Good luck.