This is what I have, and I installed the AVIC-Z2. I am still getting the proper wires to hook up the VSS, and the correct wire for the auto dimming on the Z2.
It was a real pain to get into place, and you might consider the single din stereo option. The wiring is not being used off of the factory harness, since Audi uses CanBus networking; there is no traditional voltage wiring to tell the radio that, for example, the car is on or the lights are on.
I am having a stereo shop order the cage for the Z2 (to mount it securely), and they will finish the install, which consists of getting a piece of blank abs plastic to fill the gap of the face plate adapter. I don't have the patience to finish up the job. 
I ran the antenna wires for the GPS and Sirius devices, and took apart the fin on the roof, and took out the original Sirius antenna, and put both GPS and the Pioneer Sirius antennas in there. I took a picture of it before I put the fin cover back on (See below).
I forgot the radio speaker harness adapter I used, but there was trial and error. I believe I used the older (Audi 2005-) Bose (amplified harness)adapter, and the radio antenna booster from the older A4; it is the large plug style which sellers on Ebay at the time had listed wrong for my A3. Yours may be the smaller diameter plug (check first), which is located on the back of your stock radio, since yours is newer.
The VSS wire info I got was supposed to be the same as the A4 (picked up off of the ABS signal), that is a blue wire with a white strip that runs along the driver's side kick panel. I tapped in to it, and I have yet to hook it up to see if it is the correct wire.
It was a real pain to install, even Misfit did not want to touch this install!
2006 Audi A3, with steering wheel controls for the radio with the Bose system.
-Pioneer AVIC-Z2 GPS
-Bluetooth unit ND-BT1
-Sirius satellite unit SIR-PNR2
-iPod adapter CD-IB100II
-Steering wheel control adapter PESWIPS from Peripheral.
-Metra 99-9104 Audi A3 2006+ Faceplate adapter
-Apple iPod adapter to plug into the RCA AV inputs in the back of the Pioneer, which now has a charging adapter built into it, so you can charge the iPod while using the AV feature on the AVIC.
-Extra cigarette lighter sockets to be installed under the dash for the iPod and radar detector.

