I have actually experienced pretty dramtic understeer in my S4. I was also under the impression that the bimmers generally experience more oversteer. Personnally, I would much prefer the oversteer. I'm running with an ABT chip and an exhaust, so I get plenty of power. I don't have the slip protection on mine so that could affect it.
Generally, (and I know I'm going to corrected on this) if you want more understeer, enter the turn at a fast speed and apply power earlier in the turn or completely through the it. If you want oversteer, lay off the power when entering the turn and gun it on the way out. Either way, it shouldn't be too easy to get the car to slide.