Audis are notorious for having bad power window regulators (window motors). Often, the problem is just the switch, which can sometimes be cleaned up with electrical contact enhancer (available at high-end audio shops), but they aren't too expensive to replace either. However, if you're hearing nasty noises from inside your door, that usually means that some part of the mechanism has broken--likely one of the plastic pulleys or the cable. If you you continue to operate it despite the noise, other parts will eventually fail.
If you need to replace the regulator assembly, you might be able to find a rebuilt unit for significant savings. The re-manufactured regulators will run about $175-$200, if you can find one. The driver's side window is the most common one to fail, so it'll be harder to find a passenger side (or rear) one. Try European Parts Specialists, or Mountain Auto. A new regulator assembly from Audi will cost around $500. Either way, the design of the reman/new ones are improved. The pulleys are still plastic, but the metal supports are beefed up. The picture below is a comparison of the original and new designs. The original is on the right, and the plastic pulley is gone (broken), but you can see the difference in the size of the metal support.
If you've just got a frayed or broken cable, Audi will sell you just the cable assembly for about $70-$100. The driver's side cable assembly P/N for the CQ is 895 837 725 B. However, be sure to inspect all of the pulleys, because a frayed cable will put extra stress on them, making them more likely to fail.
