I purchased a used 2004 4.2L allroad, and received only one key/fob.
The next day I managed to lock the key in the car!

I quickly began looking for an extra set of keys.
Here is what I found out;

The local AUDI dealership for me was 90 miles away.
The VW dealership said they couldn’t help me.
Local Audi dealership said they want in person;

Proof of ownership,
existing remote key,
VIN.

They order the keys pre-cut from Audi. cost= $64
The transmitter cost = $80
Programming cost = $50

Total = $194

Takes only 2 days to get the keys. They reprogram all your keys with new codes at that time.
I would need to make two trips to the dealership, one for the order, and another trip later to have the keys reprogrammed.
Cost = two days lost work.

I decided to try to do it on my own. I already have an authorized Vag-Com VCDS system on my laptop.

I opened up my key fob and copied all the numbers. These refer to the remote door lock system and are specific for your model.

I purchased;

New key/fob with matching numbers on ebay. Cost = $40
Local locksmith cut key. Cost = $10
New Virgin Transponder Chip T6 ID48 on ebay. Cost = $ 9
VAG K+CAN Commander Full 1.4 on ebay. Cost = $22
Total cost = $81

The local locksmith said he could program the new ebay key and fob.
His scanner was able to pull off an immobilizer code, but the key would not program.
This was not his fault as later I checked the transponder in the key with the VCDS
and found that it was not compatible with the car.
I think he would have been able to program the transponder, had it not been faulty.

I did some research online and found info about the proper transponder chip for my car.
Below is some info;
Transponder Reference Chart
AUDI ? TRANSPONDER CHIP CATALOG
ID 48 Megamos crypto transponder chip
I got one from ebay for less than $9.

I decided to order a VAG K+CAN Commander 1.4 on ebay to check the PIN myself.
It worked easily, and the PIN matched the one from the locksmith so I knew it was correct.

I used VCDS to check the status of the new ID48 transponder chip
and it showed as compatible with the car.
I used the VCDS to reprogram both the original and new key transponders.
The instructions were simple and it took only minutes.
Immobilizer - Ross-Tech Wiki

On the 2004 allroad, this process was cheap and easy and I even have some new tools to use for diagnostics.