A couple things to keep in mind:
1) The R is only manual.
2) Gas mileage will be better with the A4
3) Many people complain that since the R uses a haldex that it's AWD system is inferior. From what I have read and heard the haldex is a great AWD system and the "lag" really isn't noticeable from the haldex hooking up. I have a A3 quattro (it uses haldex though), but I haven't been able to test it in snow
4) There is an updated A4 coming out soon.
Both cars have very good aftermarket support. I think when it comes down to it, you have to ask yourself if you care if the R is only a 2 door. IMO also, the A4 has a better interior and the B&O is an insane sound system. The MMI navigation is also fantastic. I like the A4 for a more professional car and the R lets you have a little boy racer come out without people noticing.