When you have the engine out, it is the perfect time to do the headers. Installation of the headers goes hand-in-hand with cat/o2 relocation and tune. You can replace the four cats with a single pair of high flow, or do a cat delete, if your State laws allow that.
While your back there, you want to check the timing chain guides. With that said, I havent heard of a single guide or chain failure on the v10 S6. It seems they must have got the updated components.
There are also some seals and gaskets that you should replace. You can check the spark plug tube seals, but they are probably not a problem. There is a common problem with the seal at the base of the oil filter mount, and also some seals around a tube at the back of the heads. For that last one, check the S6 Info Dump, I think I outlined it there.
In my build, I chose to do a bunch of preventative maintenence while the car was out, replacing a bunch of parts that really had nothing wrong with them. My car was also higher mileage (130k) so the plan was always use the money saved on the purchase, to replace most of the parts with new OEM and aftermarket performance stuff.
This is my list of things I replaced on the engine/exhaust (not all necessary)
Intake manifold
Exhaust manifold (replaced with headers)
Catalytic converters (replaced with high flow)
Entire exhaust, including mufflers
Air filters (with new intake)
Coil packs
Water pump and thermostat (due to some reports of failure, and labor intensive replacement down the line)
Starter (since there were some reports of failure, and it is hard to get to after everything is back together)
Spark plugs
various seals and gaskets, while the motor is out