(Disclaimer: These comments are my educated opinions!)
DO NOT skimp on the oil changes on this car. A direct injection engine is very hard on engine oil. The TFSI motor chews up most oils by the 5000 mile mark. The factory recommended oil change interval is 10,000 miles, although they may have changed that after the advent of cam follower problems. In my opinion, the oil will not protect the motor past 5000 miles. The oil required is a VW 502.00 approved synthetic oil. Many dealerships do not put the appropriate oil and throw in Castrol 5w-30 instead of the approved 5w-40. Castrol 5w-40 is not that great of an oil to begin with. If you can get it, I recommend Lubro-moly 5w-40. The BMW guys love it and it has shown promise in protection against fuel dilution. Many NAPA parts stores stock it. Amsoil Euro 5w-40 is a popular performance choice although not 502.00 approved. Some guys love it. I tried it before but my motor ran through more of that than any other oil. I don’t see anything wrong with using it though, it seems like a tough enough oil. Mobil 1 0w-40 is another popular one and should serve you well.
If you don’t do oil changes yourself, pick the oil and bring it to the dealer. At least you know what is going into the engine.
In short, change your oil at 5000 miles max in this motor. For a forum full of oil junkies, go to this site!
Lubromoly 5w-40 has since changed their formula and I no longer think it is as good as it once was. Lubromoly 0w-40 is an alternative.