I had two sets of Volks and a set of Advans (not on my Audi’s), and both are at the top of my list in terms of quality and usually weight. While most Advan wheels are pretty light, they only have a couple of forged wheels (they’ll end in “F”). Most Volks are obviously forged, and at least in my opinion, they have the best forging process (some of their 2-piece wheels are half forged/cast). Maybe the higher end BBS forged wheels are in the same ballpark.
As mentioned, the issue with both is limited fitments for Audi’s. Every Volk and Advan essentially comes in a 5x112 bolt pattern now, but the fitment options are limited for the S4. They usually lean toward the A5/S5 and TT. The S4 falls in between, and there are no good 18" or 19" options without redrilling a 5x114 wheel. They are also pricy as they will start in the $3k range, or about the same as a lower end custom forged wheel.
I agree with what you guys are saying though… The CH-R’s look damn good on the S4. Going to anything significantly lighter is either going to cost a lot, or mean sacrificing looks.
I left the likes of HRE off my list because you mentioned cost, and well, as much as I like them, they cost way too much. You can get the newer designs down to under 20 lbs. on a 19" wheel, but… All of the P1 line looks good, and the RS101M is kind of a cool take on the RS4 wheel design.
My personal wheel choices probably start and end with Volk and BBS wheels at this point, and maybe a lower end custom forged wheel like the BC Forged wheels I have now. If I was looking for an inexpensive/track wheel, I think the options I listed above are good ones. If I had an unlimited budget, HRE or the really high end BBS wheels would be on my list.