I'm an '01, 10/00 build date, 6-spd manual.
I had the same problem, along with difficulties shifting into R when in park. I took it to the dealer, who told me that some S4s were complaining about the same problem, and they had one in the shop that wouldn't shift into 3rd gear at all. They sent me home, though they warned me that the problem might be progressive.
Eventually, my car stopped shifting into 1 and 2. I brought it back to the dealer, who told me that the synchros were wearing prematurely, and Audi was still trying to figure out what was causing the problem. They told me a lot of S4's were having the problem (one dealer in California had 12 in the shop at that time). They rebuilt my transmission by hand and gave it back to me - downtime was a month. As far as I know, they haven't figured out what's causing the problem yet. Not that they'd bother telling me!
Fulgor
'01 Santorin 6-spd S4
FULGOR

'01 Santorin 6-spd S4