Just wanted to dispel the rumor that the bumper needs to be pulled to change fog bulbs...
Just stick your hand in there and turn the socket counterclockwise (if you were staring at the socket head on from the engine compartment or it would be clockwise if you are staring at it from in front of the car). Note: Make sure you use a rubber gloved hand to keep oil off the bulb.

Now as you can see there is more than enough slack to swap the bulb (think Audi designed it to be this way?)
Now weed it back through using the gloved hand. As you can see in this picture I have circled the white latex parts to show you my fingers are working the bulb back in. Now just turn the socket back so it is facing with the wires in the due south direction.

cheers! Mike