I bought the Audi S4 after a month or so of extensive research (mostly on the internet), and test driving the primary competitors (A4 2.8, BMW 328, Acura TL, CL 3.2). Having had the car now for about a month, 2000 miles and two fairly long (500 mile) trips, I'm pretty confident I made the right decision. I bought the car with the convenience package, tiptronic transmission (more on that below), and the "optional" Bose stereo. The dealer came about $1000 below list.
First of all, this car is a blast to drive. It's plenty quick on the straight-away, even without the much talked about after-market ECU upgrades. From a dead standstill, 2 gears and 6 seconds later, you are already past the legal limit in most states. It also brakes well, and handles very well in corners -- and the Quattro AWD keeps the car glued to the road and on line, even in bad weather or road conditions. (Though this also means it isn't nearly as responsive in cornering, as compared to, for example the BMW.) The car is rock solid and quiet -- so much so that you often don't realize how fast you are going. It's the sort of car that will eat up stretches of I-95 no problem, but it also makes you want to take it onto routes like the curvy Merritt parkway or the meandering Rte 1 in southern CT, or some rural back road.
My SO had wanted to get the A4 2.8, but I prevailed and we ended up with the S4. Though she and I have very different driving styles, she has been quite happy with the car since. I think this is one of S4's greatest strengths. It works just as well tearing up asphalt as on a routine daily commute -- it is capable of being incredibly civilized. Very smooth, very quiet. So civilized, in fact, that the car was very comfortable for long trips.
My concession to practicality (and to my SO) was the tiptronic transmission, which has turned out to be a pleasant surprise. It isn't the 6 speed manual. But, it does give good enough control when one is so inclined, and the performance penalty is reasonably small. (The performance hit can be made even smaller by investing in GIAC's Tiptronic chip). On the other hand, the ability to just stick it in drive has made my drives in NYC much more tolerable.
There are minor things that are a bit irksome. The "optional" Bose stereo isn't that much better than the base stereo. Unfortunately, these things appear to be pretty "standard" on S4s -- the dealer could not find a single car without the Bose in the greater NY area dealer's inventory, nor among cars on its way across the Atlantic. There is no full navigation system option. The back seat is a bit cramped. The cup-holders are pretty much useless -- in an otherwise well designed interior. There is no interior trunk release. The lock system is a bit quirky -- for example, to unlock a and open a door from the inside, you pull the door handle twice. The driver's door is the only one with the lock/unlock switch. But these are all fairly minor quibles.
Overall, the S4 is highly recommended: great fun to drive, and practical (enough) to boot. Get one -- it's worth it.