Relatively easy to do, not as easy as halogen, but quite similar. Worst problem is getting access to the bulb on the passenger side, but really all you have to do is flip the wire bails out of the way and winkle the black plastic cover out of the way. Then disconnect the bulb connector, rotate the outer ring around the bulb/holder CCW and out comes the bulb.
I recommend pulling the bulb and getting the specific part number of the phillips bulb (or get the p/n off the bulb at the dealer). There are probably 10 different p/n for D2S bulbs, all with different bulb temperature/colors...I happen to like the <5K bulb temps, don't like bluish light, doesn't light the road for me, YMMV.
Thanks for everybody's help, and the other posts with lots of good info.
Turns out I don't have HID's, just halogen, so it makes more sense that one blew. And I checked the fuse just to be sure. (after I found my owner's manual) Fuse is OK. A friend of mine has a 2000 A6, and he has the HID's - I got confused as to which car had them.
However, on the left side, the remote start is in the way and makes it really difficult, if not impossible to remove the plastic cover. I will have to try removing the headlamp assembly, and go from there. I saw a DIY on another thread about that.
It looks fairly straigtforward - release clips on moulding - and then look for the screws that hold it in.
After loosened the plastic cover, almost all people try to LIFT IT UP, and it's hard to do that.
I have success (no need to remove anything) to move the headlight plastic cover by push it down a little, wiggle it to the engine side, then turn one of its end facing upward. You can now slide the plastic cover out just like that.
Remember the way you just did and do the reverse after new bulb replaced.