First off, if this post is mis-located please move it.
Alright, So I bought the A3 last Saturday and once I got it off the lot I noticed a very low volume whining noise coming from the right side of the engine compartment (sitting in the driver seat); I foolishly chocked it up to the turbo spool and didn't notice it what-so-ever with the stereo at any volume higher than 1/8.
Jump to last night: Get in car to drive it back from work (it was about 7 degrees F outside), get on road and start speeding up, at about 25 mph the whine jumps in volume to the point it is drowning everything out. I then do a couple quick things and determine it is not going away anytime soon.
This morning I get up (about the same temp outside) and drive to work; on the way I do some testing and what follows are my findings:
-Sitting in park the sound is non-existent
-Sitting in park, hitting the accelerator does not cause the sound (went up to limited 4k RPM)
-Sound instantly jumps in volume once I hit about 25 mph
-Sound is steady, as I increase speed it increases volume linearly and the same with slowing
-Sound is steady through gear changes, shifting does not cause it to change
-Sound continues if I shift to neutral while traveling at 40 mph
-Sound exists when car is cold or at temperature
-No loss in power/black exhaust
-Sound not affected by change in RPM's
-Sound volume is same with/without windows open
With the above info, I believe I am looking at an issue with the right front wheel; whether it's a bearing, tire tread, or something else I am unsure. Any input/info would be much appreciated; I am trying to get the best info together so when I bring it to a mechanic they don't have to troubleshoot to much themselves.
I do have a bumper-to-bumper warranty on the A3, but I feel that it is the dealerships perogitive to fix this issue as I have yet to receive the blues to register the car yet...

 

UPDATE
So I decided to do some more testing on my way home today; specifically instead of using the +/- drive mode I used regular drive mode.
Results:
-No whining noise if I did not accelerate rapidly
-If I accelerate quickly the sound kicks in, will stay steady and increase/decrease with speed, and will not stop until I go under 25 mph
I then put it into +/- mode and here are the results:
-Rapid acceleration causes the noise to begin, will not stop until I go under 25 mph
-If I do not rapidly accelerate sound does not start

The most confusing thing is that the sound will not disappear until I go under 25 mph, no matter what the RPM's; this is why a crack in the turbo line doesn't seem likely.
I am going to take a look at the engine compartment (check belts, hoses, fluid levels) but again, any help would be awesome!

 

UPDATE
I took the A3 to an Audi dealer near Albany, NY and was told they could not replicate the issue (go figure); what they did say was from my description it sounds like the wheel bearing might be going. It definitely is affected by the external temperature, 30+ F keeps it from squealing.