How the heck do you get the sensor out?

On the A4 there is a small hex nut holding it on.

According to the service manual on the A6 it press fits with a sleeve but I can't get it out no matter what.

 

You should be able to pull it out unless it is rusted stuck. Inside the hole there's only a metal cage for contact.
The one on my 1995 2.8 came out fine by just pulling it. I doubt yours is rusted on a much newer car. Pull back the rubber sleeve edge a bit and then try to pull the whole thing out.