The type of audit is going to vary widely - audits in Germany are going to be different from audits in USA. Audits in the public sector will differ from private sector. In general you're going to experience audits for any certificates you have (ISO, PKI, CMMI, etc.), for any government regulations (OMB, FIPS), and you're going to have periodic audits for computer security (multiple audits/year), budget, risk, physical inventory, software inventory, etc. Plus the inspector general wants to feel needed, so they will audit someone every year. If you include data calls (which are a type of audit), then we're audited about sixty times a year.
As a PM, how do you support the audit? Depends on the audit. Once a year they come through to audit all physical inventory that costs more than a threshold. We don't need to support that much at all. On the other hand when the security team comes through there is a week of collecting documents, a week of face to face interviews & demonstrations, and a week of writing plans of action & milestones. If the CMMI team comes through, we take a team of people offline for between one and six months to write documentation/artifacts, and the entire management team is on call for the duration of the audit. Plus all the post audit action.
(hat tip to @Laconic Droid) - Internal audits vs external audits will require significantly different preparation. On the other hand, I'd be suspicious of any job that requires experience preparing for internal audits. If such a job were advertised, I'd ask some pointed questions about what skills/knowledge/abilities they were seeking. Internal audits differ vastly from office to office, and I'm not sure how much skill transference is possible.