1) http://www.autohausaz.com/ They have audi OEM parts and other european parts at half the price. I do most my shopping here, and always check here first. They usually have the best price with free shipping over $50. (Engine Oil TOTAL/Elf 5W40, Full Synthetic 5liter@ $33, other sites:$55 plus 5W40 is a pain in the A&& to find)
2) http://www.blauparts.com/ This is one of the popular sites. They're audi/vw based site with shops in the east coast. If you don't know which parts to get and want to do a full belt/water pump change, they sell them in kits here at a fairly good price and they provide OEM parts of course.(They have wide range of "how to guides" as well to give you an idea of what kind of effort a project might entail.)
3) http://www.shokan.com/ If you have an older audi, and want to look for used parts. This is a great place to start.
4) Ebay.com I use ebay motors from time to time when I'm on a budget and dont mind aftermarket unknown quality. For example when I was doing my upper control arms, I got my front OEM uppers at autohaus for about $60 per side, bargain. Then later found out I had to replace my front rear arms too. I figured 100% rating ebay dealer couldn't possibly sell me a product thats worse off than the worn out dead arm on my car... plus at $60 for both sides. What i got to lose but my life :)
If you know of any great sites, let me know. Always good to have a wide selection to choose from.