ECU - Electronic Control Unit - the computer brain that controls the Engine - this is what you Chip
To "Chip" - Generally means replacing the ECU with another one that has been altered to offer better performance (MTM)
Remap - Similar to above but generally you are adjusting the settings on the standard ECU rather than replacing it/parts of it. (Revo)
Custom Remap - Same as a remap - but this is something that is done specifically for your car and maximises the potential of your particular car. (AMD, MRC)
IM - Inlet Manifold
K03 / K04 / RS6 Hybrids - The turbos used on the S4/RS4's - bigger = more air = more power.
MAF - Mass Aiflow Meter? This measures the amount of air entering the engine and this reading is passed onto the ECU which then supplys the relative amount of fuel for this amount of air. With time these read less and less giving the ECU the impression that the car is not taking in as much air as it actually is. This results in the car running "LEAN" and this can lead to the engine running too hot & pinging and could potentially cause damange. Luckily (in a way) if this gets to bad the "EGT/lambda" sensors can become damaged by the excess head in the exhaust - & this results in the car OVER FUELING and running the car "RICH" which compensates for the MAF under reading. While all of this happens you are loosing power.
EGT - Exhaust Gas Temperature
Lambda Sensor - A probe in your exhaust that measures the mixture of air coming out of your exhaust. This can then tell if you car is running "lean" or "rich"
LEAN - The engine receiving insufficient fuel relative to the amount of air it is taking in.
RICH - The engine receiving too much fuel relative to the amount of air it is taking in.
VAG-Com - A cable/software product that plugs into the ODBII port of your car and connects up to your laptop. With this you can diagnose faults/monitor what your vehicle is doing when being driven. This is available from various sources. From personal experience I suggest you go direct to
http://www.ross-tech.com/ - they are american based, but it works out cheaper than buying locally and offer FANTASTIC SERVICE
APR Snub Mount - This is an engine mount that sits on the front of the engine. This reduces the amount of rocking the engine does under load and improves the feel of the car - much like the DTS does (described above).
Tubular Manifold - This is an exhaust manifold that would replace the standard cast iron one that is supplied as standard. This has larger ports and allows the engine to breathe better - mostly used when fitting larger turbos etc. There are many sources of these - I suggest speaking with a specialist to see which is best for you (MRC, QST, AMD etc).
IC's / Intercooler(s) - A radiator that the "charged" air out of the turbos passes through before entering the engine. This cools the air and this helps reduce pinging & allows the car to run more timing. Also cooler air is dencer so you get a bigger "bang" & so more power. There are a few options out there... RS4 ones, APR I believe do some and then an FMIC as mentioned by Graham. These are all available through various sources. FMIC's are still a fairly new thing to the UK market. MRC are working on a solution at the moment.
I think I have done enough here. Sure there is loads more out there.