Audi recommends 36psi on 205/55/16 tires....can you advise for 235/40/18 tires? thanks.

I'd say 33-36psi is a good baseline to use in this case.

And with what wheels? I'm curious as to whether you have any issues with rubbing? I'm considering getting a used set of 18" x 8" ET 35 wheels with 235/40 tires but I'm worried with my suspension setup (Bilsteins and H&R Sports)

I was told by ACHTUNING that their 18" RS4 wheels w/ 235/40/18 would not rub. You can call them to find out. If your interested I'm selling my brand new set of wheels + tires....email me for more info. I decided not to keep them. See post in classified section --> RS4 Reps with OEM Center Caps and Conti Extreme A/S Tires...