Try it yourself, you'd be amazed at the deals an informed shopper can get.
A little known fact (damn, did that just sound like Cliff from Cheers?) is that car dealers can sell a car at exactly invoice price and still make around 3% thanks to creative bookkeeping and a program known as dealer holdback. Given the price of an A4, the dealer is making around $1000 selling it exactly at invoice. Go into your local Audi dealer and present your case like this:
1) I'm buying an A4. I can buy it from you or I can buy it from your competitor.
2) I know the invoice price of the car and I know you're making $1000 on that price.
3) I'll give you $200 over that, so you're going to make $1200 for the easiest sale you've ever made.
4) Sell to me at that price and you get the profit and a happy customer that you can sell service and repairs to for 6 years, refuse and your competitor makes the money and gets the customer and you get nothing.
Trust me, on most cars that'll work. The economy still sucks and people are not lining up waving cash at the dealer hoping for the privilege of buying a new car. They need you more than you need them and a small profit is better than no profit at all. That doesn't work on cars that are special models or in short supply, but for most models the dealers can't sell all that they can get, so it's better to move one cheap, make a few bucks and try to rip off the next guy for the undercoating package. Give it a shot, try the local dealer and let him know that you're not afraid to use the internet to get a better deal. The worst that can happen is that they say no, but if he needs to move cars you have a great chance to beat the internet prices right then and there.
My parents needed a car about 6 months ago and I got it for them at 300 UNDER invoice. The dealer needed the money, he had 12 of that particular model on the lot and zero leverage. He made about $500 on the deal and any sane businessman knows that $500 beats $0 any day of the week.