Exhaust gas temp sensors
 

I have been told I need both sensors replaced and Audi wants about $800 each and 10 hours labor to remove the engine, replace the sensors and put it back in the car.

Does anybody know a more reasonable source for these sensors and is it necessary to R&R the engine

HELP!!!!!!

Haha,
no need to pull the engine. You can get the pair for $350-450 online and do this yourself if you're remotely mechanical. There's some tight spaces to work in, but you can do it without removing the engine. You need to take off the beaty covers, air hose, and possibly the spider hose. You'll also want a set of crawfoot wrenches and lots of different sized socket extensions. You can easily do this in under 3 hours, under 1 hour if you've done it before (maybe).

Either way - the dealer is screwing you. Get another quote. $800 for the parts and labor for both sides may be more reasonable - but is still a bit high.

Exhaust gas temp sensors
 

jseklund is absolutely correct. I just replaced both sensors last night on my allroad. It was my first time and took me 4 hours (including a run to the store to get a wrench). Got the pair of sensors from ecstuning.com for $310.