I have a lovely S3 - now with 6,500 miles under its belt, and have had all the problems you mention. They are all now fixed.
1. Wind noise and badly fitting roof. I had the same thing on the driver's side although the passenger side was much better. Water poured in and I could not drive safely in the rain. The roof was adjusted by the lovely folk at Brands Hatch but still was not great. Took the car to the factory just before Christmas (it was just out of warranty but my attempts to fix were documented and Mark Baldwin and team had it adjusted in no time. I drove home 150 miles in heavy rain with perfect fit, no leaks and hardly a rustle of wind noise. It did not take long and I think they just adjusted the pegs. It seems that if you don't 'help' the roof closed as you do up the clips it will not engage fully so try giving it a good push as you close it - might just work, although I had tried to no avail.
2. Drivetrain shunt - you will drive round it and get to know the situations when it's worst. This may sound like a ridiculous 'solution' but I promise you that I got used to it and learned to minimise it pretty quickly and it does not spoil the car for me at all. It makes driving that bit more 'accurate' which I find helps to make the drive even more special. Honest! I did mention it at all the services but I don't think there's much they can do.
3. Coolant - I had a slow leak for ages. The black round knurled thing near the centre of the engine opening the nearside bonnet is the filler and you should be able to unscrew it with a bit of effort. A cloth round it with a mole-grip spanner works as long as you're careful if it's too tight. Fill with anti-freeze as well as water - I use a measuring jug from the kitchen but don't tell my wife. I lost a litre every 6 weeks approximately on little driving. Reported it and a new part was ordered which looks a bit like a stethoscope and requires the bonnet and radiator grille to be removed. I also had a complete failure of a cooling hose falling off which rendered the car undriveable at about the same time. Even after the 'fix' I have still had to fill up the cooling system but it does seem to be less frequently. It's certainly not a major irritant at the moment.
4. Remote locking was very intermittent right from the start and got worse and worse. When I took the car to the factory they issued the car with a new remote control (plus a spare) which looks completely different. However it now works a treat from many feet away - just like you might expect. It never worked like that with the original one. If your transmitter is sort of kidney shaped it is probably the dodgy one like I had.
I have also had a terrible rattle from behind the dashboard that the factory improved - it sounds like a chafing wire or wires and is sometimes worse, sometimes better. If anyone else has found an easy cure for this (the factory said it might required the dash to be removed although they fiddled and it is definitely not as bad), I'd love to know!
My rear axle had a bad leak which caused the lsd to squirm under heavy acceleration. Luckily I topped this up myself and the oil seal has been changed and all seems ok.
Sounds like a lot, but I've loved the car throughout. It followed a new Porsche Carrera 2 'S' which had just as many faults and I could write a much longer essay on that experience.
Good luck and get these things fixed. In my experience a trip to the factory is the best way to address this scale of issues. Then you can enjoy yourself and the noise, admiring but polite glances / comments / great handling / excellent brakes / flexibility etc.
