Hi Adam,
Having fitted a few kits now, I can tell you that the only way to go is with a Dension kit.
The Dension stuff is well supported, is upgradeable and transferrable, should the unthinkable happen and you sell the A2!!!
The genuine Audi kit is actually a Dension kit in disguise, with a custom-written bit of software which shows the 4 ring logo on startup.
If you don't want any holes, then go for a Plummer mount, which places the iPod next to the gearstick. If you decide to mount it in the glovebox, there will need to be a hole drilled to pass the cable into the glovebox, although this won't be visible on the outside.
Cheers,
Mike