Read your owners manual for fluid specs... AND EXPECT TO BE FLAMED.
I use whatever oil is on sale for my motor(5W30 because thats what the manual says). I've been sticking with the Pureolator filters because they get decent reviews and are reasonable priced. I wouldn't buy any special filters because I haven't seen measurable results.
I am however considering switching to the Mobile one expended life 12,000 mile oil and special filter for convenience though.
I use Royal Purple 75W140 in the diff(it is what the manual says) however the new GM part number for it is 75W90? Needless to say, 53k miles and no issues.
Also, I don't belive the A4 is too hard to do. I would assume it is the same as most cars, drain, drop the trans pan, replace filter, and put the trans pan back on (new gasket usually comes with filter) or use RTV(let dry before putting fluid in)
2003 Corvette Z06 - MGW shifter, Corsa X pipe, Corsa Xtreme exhaust, Texas Speed long tubes w/o cats, PowerStop rotors/pads, Conti DWS tires, C6Z51 F&R sways, C5R headlights, tuned
04 GTO - sold