A lot of people -- primarily chief financial officers -- get their feelings hurt during this process. After all, auditors question everything and the folks handling the money can take routine questions the wrong way.
The best way to deal with an auditor is to simply realize the person doing the audit is simply doing a job. It's nothing personal -- they are there to make sure everything is on the up and up. If there's no impropriety in handling the money, there's nothing to be concerned about.