Having had a B5 S4, so being qualified to comment on the issue I'll mention a few things.
Mine had arelatively moderate milage when I bought it (~50k), it was mint, had full service history, came with a warranty etc. - and I too had heard the stories how these cars go on for years without problems.
During the ~12 months I owned it I uprated the suspension (HR Comfort
coilovers), brakes (porsche 993TT items), exhaust (miltek), software (revo), intercoolers (AWE) - all of which went from turning my mint, but standard car, into a fabulous sports saloon
One thing which was apparent from the offset, was parts for these cars are significantly costlier than for smaller cars. - so somethingto bear in mind
In addition to the upgrades, I had the car serviced twice, checked out by Audi as part of a local dealer's courtesy, and had a health check by MRC.
Anyway, in May last year both turbos blew. - The warranty did cover it...but only the first £1600. Turbos blowingon these cars is an engine out job, i.e. costly. - £3500 for K03 replacements, ~£4500 for K04s.
I'd been thinking about selling the car for a more trackday focused machine, so when this happened, I took the opportunity to sell the car to an aquaintenance who has since upgraded the car, and used it to show case his company's (MRC), skills in fast audi tuning.
The point I'm trying to make is, sure the big audis will go on for ever, and do hundreds of thousands of miles, but they'll cost you a bit along the way.
amusingly Doug's S4 (i.e. my old one) is probably faster than the CSL now...I don't regret for a second changing though