What are things that may (or will) go wrong? What other things must you mod in the process?

-about how much $?
-is vag tool needed?
-you take the chip out when you go to dealer right?
-% chance it could totally f-up your engine?

I'd typically think chips with one program would start in the $400-500 range.

A vag tool isn't needed, but if you plan to mod your car, it would be money well spent.

Most chips are "flashed" meaning there is no physical chip to take out. You can however, have a stock mode put in to switch back to when taking it to the dealer. I leave mine in chipped mode on my TT and they don't squawk, but my dealer is mod friendly.

Most of the big manufacturers are very reputable and I can't think of a single instance where a chip was a cause of an engine failure.

most dealers do frown on this type of engine modification. If you ever have any engine problems, and they know about the after-market chip-tuning, they may try to void your warranty.

What is a good time (mileage) to put one in (does it matter)?

of all places.

I have APR and that adds another 50HP. Very tempting. chipping adds fun to driving. I cannot stand the stock performance since I am from very strong V6 engine. Chip and S mode are a must for me. They are all very reliable. A few says chip it after breaking in (not my words). I chip it after 300 miles (dyno -> chip -> dyno)

I think this thread is worth reading:
http://forums.audiworld.com/a3/msgs/51897.phtml

Most chips are reliable, but not all. Plus APR seems like a company I'd not do business with.

boost machines that run 15-18psi of boost regularly and have been reliable for years. I've heard of the turbo issues with the S4s as well. I'm thinking it's some type of model specific problem rather than the K03 itself. I wonder if there is some difference in how they are installed in the S4 that differs slightly from the 180hp TT that would make a difference.

It may have been because the person doing the soldering didn't do a good job, but that's different. Soldered chips have been used for years by the best tuners worldwide.
Yes, things have been changing to "flashing" instead of soldering, but soldering is not bad.