I just had the XM radio "FM Direct" adaptor installed and it works far beyond my expectations.  The sound to my untrained ears is crisp and clear with no interference at all!  The part is only $25.00, but you need to take the radio out to install it so I had the local Car Tunes dealer do it for me.  I paid them $130 including tax, the adaptor, two antenna convertors, and labor.  It seems that Audi uses an unusual antenna connection requiring two adaptors.  I am using a Panasonic “inno” radio that I also use as a portable and on my motorcycle.  I’m sorry I didn’t do this a couple of years ago!

The Panasonic "inno" is a small portable pocket size XM radio that you can unplug and take with you.  It plays through the standard Audi radio and speakers - kind of like an iPod.  By the way, there is no way to hook your iPod up to the direct adaptor as it is XM specific.