Actually it is only 20lbs heavier than the BMW if you are going to compare apples to apples you need to compare to BMW 335xi which weighs 3824lbs compared to the S4 at 3847lbs. Than you have to consider that the S4 is larger and also has the LSD and now the S4 looks actualy lighter than the 335xi doesn't it?
And if you consider what Lou said above you can see that the S4 is a much more advanced car than the 335i that is three years old. If you want to get the 335i, I would strongly suggest you wait the 1-2years for the new 3 to come out. The current 335i has so many problems that it makes Audi look like a Japanese car when it comes to reliability.