Why is my Audi Check Engine light on and what should I do?

I recently noticed the Check Engine light has come on in my Audi A4. What could be the cause of this and how should I address it?

The Check Engine light in your Audi may indicate a wide range of issues, from something as simple as a loose gas cap to a more serious issue with the engine itself. To find out the exact cause, you will need to use an OBD-II scanner to retrieve the diagnostic trouble codes (DTCs).