I am looking at purchasing a 1999 Audi A8. It has 131k miles on it. Besides the tranny are there any other problems I should be looking for? I've noticed some people talking about some performance parts. Where the hell can I find some of those? What kind of hp gain would I see from a good exhaust/intake combo? School me on these cars please.

 

www.034motorsport.com for a chip, should get you around another 15-20 horsepower.
Other than that building an exhaust is about it. MTM makes a supercharger for about 18 grand which is rediculous, PES may be coming out with a 4.2L supercharger but that remains to be seen.
The transmission is the only real concern you need to look out for (very costly repair) everything else is maintanence and cosmetic things like the cup holders breaking etc.
I would ask them for proof of timing belt and water pump service which is another super expensive service.
Since i see you're a Ford guy, i would say expect to pay 100% more for parts.