You're right to focus on the brakes. Audis are heavy and the drivetrain layout isn't doing them any favors as far as weight distribution and handling go, so they are comparatively slow through the corners. My experience is that running them at the track punishes the brakes, badly. I took my B5 S4 to Laguna Seca when it was brand new (man that was 20 years ago), 4 sessions later the brakes were on fire and the tires were chunked. Now, that track is particularly hard on brakes and the B5 had fairly lousy brakes from the factory, but it went to the dealer the following week for a complete set of front brakes at 8K miles. :)
One of the things I'd suggest is to turn all of the "nannies" off -- stability control, traction control, they work by using the ABS hardware to actuate the brakes on specific corners of the car to make it do things, and this dramatically increases the amount of heat that goes into the brakes. I didn't do that.
I don't want to scare you off track days (they're a ton of fun, I was at Laguna again today!), and by all means go dip your toe in the pool with the S4. Just keep in the back of your mind that if you get bitten by the bug and want to make it a regularl hobby, it's probably cheaper to buy an already-built mid-pack Spec Miata than it is to build an S4 into a car that can run hard at track days without destroying brakes and tires.
As for specific questions:
- I've never heard anyone care about tint at the track. Passing signals are typically done with an arm out the window (windows must generally be down), so that's not really an issue. Audi Club does point-bys using turn signals (ugh).
- As for helmet I agree with the people recommending closed-face helmets. I like Bell, but there's no substitute for going to the store to try them on to see what fits your head. And yes, most track day groups no longer accept Snell Motorcycle helmet certifications (IMHO this is dumb, but whatever).
- Most tracks have fuel available, albeit at a higher price than the typical street gas station. For your first track day, though, I'd recommend just buying it there. Toting fuel jugs around in the back of a pickup or in a trailer is one thing, but personally I wouldn't put them in the trunk of my Audi.
As for what else to bring, one thing people haven't mentioned is a folding chair. Generally you're hanging out in the paddock, which is basically a giant parking lot -- chair is very nice to have. Bring it to the drivers' meeting too, they're usually really long. :)