First off, from everything I've read, it appears that Audi is much more focused on emerging markets etc. It is well known that profit margins for vehicles in the USA are much lower driven by domestic OEM pricing. Just look at what someone pays for a 3 series in Asia. I was just in S. Korea and I noticed an abundance of German luxury cars, with BMW and Audi more or less equal in number. When I spoke to an Audi CA, he said that allocations are very hard to come by for NA dealers because they are all going oversees. See this article
IMO, Audi's marketing is simpler and more straight forward, in the sense that you don't need to know the details to recognize what "category" a car is. The A4 << S4 < RS4 is a simple comparison while for BMW it varies year to year etc. Of course, a 2005 S4 has a V8 compared to the 2013 supercharged V6, but to most this is negligible. IME, no one outside of internet forums really knows of or cares about the package difference of an M-Sport 3 series or A4 S line...it's the same as if someone said they had a Zl1 Camaro...do you know what that means?
The S4 can only be compared with the M-Sport 335i xdrive...and base prices aside, they are very similarly priced when optioned well. BMW has an optioning ability to add almost 14K to a base price, while the Audi's have less room but start higher. Performance wise, IME they are not in the same boat when comparing AWD models. I think the powertrain on the S4 is just much more equipped to put the power down. It drives harder and is faster from my experience. I cross shopped both a lot, even ordered a 3er, but ultimately went S4 because I wanted something that did better in the snow (live in midwest), liked the Audi interior, and most importantly liked the more conservative exterior - driving an EBII Msport to work at a US OEM would probably look bad when 90% of the cars on the lot are domestic.