hey, just wanted to make a quick post since i added new HID housings to my 08 A4. i got the pair from protuninglab.com and love them. they look similar to some audi options that came out later. the price is pretty good too, compared to regular audi housings or other options. i got the whole kit including HID bulbs and ballasts so it was literally plug n play, after taking off the bumper of course :/
their website has a simple instructional video but it does cover all the basics, its just a lot harder in real life. after all was said and done, i love the lights. the leds look super cool, the hid is awesome and way better than my failing old halogen turds. the only issue is the high beams are super bright and narrow so until i fix the alignment, its like a spotlight in the center of the lane, but no deal breakers.
definitely worth a look if you want to upgrade and customize your headlights

here are some quick pics