How well performing is the Audi S4 compared to the BMW M3 or M5? I want the best performing one.

well the S4 isn't even in the same class as an M3 or M5. If you want to compete with the M3 the RS4 is what you want, really you could go with either one theyre both great vehicles with very similar performance (Audi has 4wd, keep that in mind, but M3 is a bit lighter) so its a matter of which you think is cooler not how they perform. As for the M5 the RS6 is its competition but is much better. The RS6 has a twin turbo V10 and quattro 4wd which makes it much faster than an M5, but a bit more expensive.

Well first off where are you? Because the current/next RS6 will not be introduced to the American market or so the last reports I read where saying. Also, performance can be subjective. Numbers wise the M3 beats out the RS4, but as said already the Audi is all wheel drive as opposed to rear. Also the edge is minor. Some reviews have placed the RS4 ahead of the M3 in turns of handling, with some of them saying the M3 oversteers. Lastly if performance is your main point then look to the Mercedes Benz competitor for the RS4 and M3, it was described as the Racer's car, as opposed to the M3 being the Driver's car and the RS4 being balanced between the two. I'll also mention that the RS4 is a number of years old and will be replaced by the next model soon, for buying an out going car your main bonus is not paying the ridiculous deal premiums placed on M3s. At the end it's your choice.

+1 - The direct competitor the the M3/M5 is the RS4/RS6. Tests tend to run the S4/S5 against the M3 because the S-series is so good, but it's still not really a competition. Generally speaking, even though Audi has recently improved their game in the performance market, they're considered the more stylish and luxurious option over BMW and MB who offer a deeper performance experience. Audi tends to make their cars heavier and softer than BMW/MB and therefore most Audi's offer a more isolated driving environment. Audi's are still great drivers' cars, but BMW and Mercedes usually have the edge from a performance perspective. I'd still buy an Audi though.