Simplest route and by far the single biggest torque/power gains will be by means of an ECU remap. This is done via the diagnostic port. This is an interesting yet highly unimpressive process to observe as it doesn't even require the bonnet to be opened. Please don't consider tuning boxes.
The current A4 3.0 TDi is rated at 236bhp and 406lbft
Celtic Tuning (my favoured tuner but there are many other good ones as well) will take it to 288bhp and 461 lbft.
You can go further but you will be spending big big money on exotic components such as hybrid turbchargers etc. Even if you do this you will still need the ECU remapped to make best use of the uprated components.
O yes, a warm welcome to torque cars as well.
Rgds,
Paul Anderson.