I have had a EGT code since I purchased the RS6, it was only a soft code, no CEL.

17861 - Exhaust Gas Temp Sensor 1 (G235)
P1453 - 35-10 - Open or Short to Plus - Intermittent

The EGT probes normally do not fail, it is the electronics in the Black (drivers bank 2) and Brown (pass bank 1) boxes. More specifically, the solder joints crack.

If you have original sensors, it is pretty simple to fix; pry off the covers using a small screwdriver and then reflow 5 solder joints with a good soldering iron. Original boxes are filled with a jelly substance, you can push the solder iron through the jelly and reflow the solder pads.

If you have newer sensors, you may have issues, the box is filled with black potting. You will have to scrape out this potting to access the solder joints.

When finished you can clear your codes with Vagcom, and run for a few days and recheck the codes. If all is well, use your favorite adheasive to put the covers back on the EGT boxes.

You can tell if you have original or newer sensors by looking at the date code on the box covers. If they are newer than your build year you have had the sensors replaced at some point. For Example 08/03 would be original for a USA car.

In addition, you may be tempted to buy S4 or A6 2.7TT sensors, these are NOT the same as RS6 sensors. RS6 sensors are a wideband type that read from -40 to 1100 deg C, S4 or A6 2.7TT sensors read from 945 deg C and up.

RS6 Part#s
077919529K (left, Brown, Bank 1)
077919529E (right, Black, Bank 2)
077998124 Kit (both)

Click image for larger version. 

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Picture is a represantation, yours may look different inside, but solder locations will be the same.