Hi,
I've got an OBD interface, I used it on my Audi A6 Avant 2.5 TDI from 1999. Please note that it will not work on the new A6, since this one uses another bus (CAN-bus).
There are lots of OBD kits on the market, some come with (illegally copied) software, some come without.
The software (or the options of the OBD interpreter box) is what makes the purchase worthwile, so make sure you either know where to obtain the required software or you have it included in the package. Otherwise the only thing you can do is connect a PC to your car without causing a short-circuit :-)
The Ross-Tech software is very good:
http://www.ross-tech.com/products.html and you can download a trial copy. Their software/hardware also works with the newer CAN bus.
Here in Europe the use of this software is somewhat 'discouraged' by the dealerships, since you can do a lot of bad things to your car (like igniting the airbags on some models) so play with caution.