Most things I've gone to dealers for have ended up being crazy expensive. A timing belt kit for my B5 S4 was rounding out to about 450, when a non-main dealer quoted me 270 for the same brand parts (other than the timing and fan belt being Gate Racing instead of whatever Audi supply). The brake pads were also considerably more expensive, but not wasn't a surprise. The only thing that has been surprisingly cheap was the little retaining clips for the floor of my B6 that the floor mats clip onto.
Don't get me started on the headlight ballasts though. Audi wanted something like 400-500 for one and I got the same one for 100 from another car brand dealer. Its just a generic Valeo ballast.
That said, I usually don't order little things that are used on a broad range of models. Most of what I usually find myself looking for from dealers is usually model specific and not really done in bulk so its bound to be a bit pricey. We just don't really have many S4s, or S models in general, over here in Ireland so not many people go to dealers looking for parts for them. Most of the parts have to be ordered in specially.