On many vehicles there are carrier/caliper bolts that are supposed to be "one time use" and should be replaced every time you take them off.
Wear sensors that I have seen are built into the pads, so make sure you bought the pads with sensors if your car requires them. In some cases there will be a VW version of the same pad that doesn't have sensors, but the Audi pads will (just an example, not sure if that's exactly true).
If your mechanic does brakes frequently and doesn't mind having the rotors turned (or can even do it in his own shop), then I don't think you need to replace the rotors. Many DIY people will replace the rotors because it's not worth the time or effort to have them turned, but that' usually less of an issue when a mechanic is doing it. Of course, I'm speaking generally here, and some cars it is recommended or required to replace the rotors each time -- I'm not sure if the S4 falls into that category.
The other items I can think of are all "shop items" like caliper grease and brake cleaner... Stuff you shouldn't have to supply unless you're doing the job yourself.
Also, for other people considering this, make sure the mechanic is OK with installing your parts. I've heard from some in the past that "if it's not my parts, I can't warranty the work".