I've heard that '03 and '04 allroads are all missing the cable that's needed--it's a CD changer cable, so if the car has a CD changer in the dash, I'd think it's pretty safe to assume there's no CD changer cable running to the trunk.
I checked our allroad before we bought it, and made the dealer throw a cable in with the deal (saved me $100). Unfortunately, I didn't realize it would take about 4 hours for them to run the cable from the back to the front of the car. Apparently, they had to remove a bunch of the interior pieces, including the roof-trim bits that house the side-curtain airbags. I'm really glad I didn't try to do it myself!
There's also an L-bracket kit, which you can get for around $15 from clairparts.com. I used this when installing the Phatbox in our S8, and it made it a breeze (by "breeze" I mean I had it installed firmly, in a really good location in the trunk in about 1-2 hours). In comparison, mounting the Phatbox in our A4 took weeks. I had to come up with a kooky, removeable, wood-and-aluminum mounting sled that held the Phatbox at a 45-degree angle and allows you to slide the whole thing out a bit so you can remove the cartridge.
The only other thing you might find you need (I sure did) is a 60-gig cartridge. You get this from phatnoise.com, and it runs about $350. It wouldn't hurt to wait, though, and see if 20gigs is good enough...also, the price is bound to drop someday...
Also, I just noticed on the audiusa.com webpage that it says the Phatbox is not compatible with the satellite radio receiver--that's total crap. I hooked up one of our other Phatboxes in the allroad, and it works just fine. You can switch between satellite radio, in-dash CD changer, and Phatbox with the touch of a button...no problem.

2004 allroad MT6
+ GIAC-X ECU software upgrade
+ RNS-E nav+ headunit
+ H-sport swaybars front and rear (firm)
+ Trailer hitch
+ Stratmosphere short shifter
+ 402 mod (-15mm)
+ V1 hardwire with ADR dash integration
+ Phatnoise audio
2001 S8
+ Sportec ECU & TCU software upgrades
+ Custom exhaust
+ Nav+ headunit
+ V1 hardwire with ADR dash integration
+ Phatnoise audio
Gone, but not forgotten:
1998.5 A4 Avant 2.8 tip
+ PES G2 supercharger
+ GIAC Tip Chip
+ V1 hardwire
+ Phatnoise audio