Welcome! Agree with above comments, ECU/TCU tunes are a must, gutting the pre-cats will net you some power gain, and if you're looking to go further:
1) Splash Guard - Sportec vent mod (dremeled channel across the front of the splash guard with angle aluminum to allow airflow but not water/dirt up into the engine compartment. Total cost if you still have a splash guard: ~$20 worth of materials and a couple hours of labor
2) Wagner IC's/Hoses/Shrouds - beefier intercoolers, better piping, better airflow across the IC for more consistent power in higher temps (you're in Texas, I'd very much recommend this). Total cost ~$2k + labor (requires bumper removal, and you'll lose your fog lights)
3) It's only a question of when your Torque converter will take a dump, and you'll probably want to rebuild/beef the trans at the same time. TC: ~$2k for a built unit, Trans: ~$4k? for the rebuild with hardened parts, otherwise look forward to ~$8k to replace. This will require service position (engine and trans pulled to the autopsy table)
3a) While you're in service position, you might as well take care of a few things with the engine. Generally accepted repairs at service position time:
Timing Belt/Water Pump/Tensioner Rollers/etc... - the kit runs ~$700 and will be an extra 3-4 hours labor in service position - strictly done at least once every 35k miles. If you drive it hard, reduce to 30k intervals. If you drive like the typical RS6 owner, reduce to 25k miles just to be safe
Alternator / Alternator Diode - the Diode fails far more often than the alternator itself. Either _can_ be replaced without the engine out, but it's a tight fit, big hassle.
O2 sensors - if they haven't gone south recently, plan for them to do so soon. Can't recall the list price off the top of my head, but get at 'em while the engine is in service position to save a whole lot of trouble
Gasket check - every seal, every gasket, everywhere. Pinhole leaks are a pretty common occurence, and you don't want to mix coolant into the crankcase. Full seal kit runs ~$350. Lots of labor, but worth it to save the engine!
3b) While you're in service position, take some time to do other stuff with the engine that can net you some gains at minimal expense.
You don't need headers (unless you're doing a full custom turbo job, stage 3 tune, all that jazz) - I recommend wrapping the exhaust manifolds from the heads to the pre-cats, and possibly back to the secondary cats.
Turbos in good shape? Check lines and be sure you're not collecting oil in the lower bent tube. Assuming everything is still sealed up tight, turbo blankets will help you get your heat down the pipe instead of letting it soak the engine bay
While we're talking about heat - check out your EGT's - fairly common occurence with these is the solder joint from the thermocouple wire to the board cracking and causing EGT signal loss. Pop open the body of the Sensor, if there's any doubt to the solidity of the solder joint, flux that stuff off and re-solder, cover with dilectric grease, close it up and enjoy another 50k miles of service
UIM Filters - I'm not saying the stock filters are bad, but K&N makes filters that flow ~5% more volume while trapping particulates 90% smaller - f'in magicians, those guys... not necessary to be in service position, but it means less leaning over and possibly scratching up the front clip of your new toy.
4) General maintenance and/or appearance upgrades-
Check your axles and CV boots. Typically, replacing a front half-shaft from Raxle will give you a better performing unit at less than the cost of an OEM CV boot kit.
Cabin air filter - clean air, happy passengers
Coolant check: G12 only!
Oil: Not gonna start a holy war on the boards again regarding which oil to use. Just make sure it meets/exceeds 505.01 spec. I'm not even going to recommend a brand.
Per your taste, LED's are a great way to modernize the look of the RS6. Personally, I've done DEPO smoked LED Tails (they look pretty hot on Brilliant Black), and superbrightleds.com Type 74 in the high-mount brake light (MUCH brighter, much truer RED color when lit) - I'm planning on doing up some other lights, but I promised the girlfriend we'd get her car squared away before anything else with the RS6 (other than the RNS-E)
Let's get some details on your new beast! Last 6 of the VIN? Color? Interior color Ebony or Platinum? Interior trims in wood or carbon? Any mods done by previous owners? See my example below:
V#905530, Brilliant Black on Ebony Leather, wood trims (until oCarbon gets my order finished), previous owner replaced DRC with KW Variant 3's, I had a K40 system installed and mounted with a kill switch, replaced tails with DEPO Smoked LEDs, and am restoring to near-showroom condition one part at a time. Next up on the list is RNS-E, after which I have to stop modding until the girlfriend's car is sorted out.
Whew, lots of stuff here. Welcome, and
FON!
Other_Erik