Just got a '05 S4 and would like to begin tuning it...where should I start? Chip? Exhaust? Intake?

the biggest hp gain for the buck is an exhaust system. i have downpipes and exhaust from labree and i have never heard a better sounding S4. It is so refined in fit, finish and sound. very little to no interior cabin noise and it roars on the outside.
Give Maier a call at btg motoring(btg motoring.com, they are great to work with and it should take about 2 weeks in total from build time to your door, depending on where you live.

cheers

<center><img src="http://i70.photobucket.com/albums/i91/AudiAdvocate/Newrearleft.jpg"></center><p>Just added a Milltek full-back - terrific sound, added torque and nicely fills out the exhaust hole on the back bumper.