When you mention ur running an application server...whats this application all about?...what I mean is...try and find out what components it uses to get itself working...
eg..Apache for a web frontend(so you look in the docs for places where Apache stores its logs)
Oracle as a database backend...look at Oracle auditing...I'm no SQL guru...but I do believe you can get all teh audit logs with a couple of simple queries
And as Drunni mentioned...the /var/log directory holds a lot of info....that should be more than sufficient for the auditors...trust me...
I'll tell you what they r looking at .. they are just trying to find out whether your processes are in order...they are not bothered about how good or how many pages your logs are...they just want to know whether all the important stuff is logged so you can find out info incase of a compromise...
So..
1.Find out the application logs ; give it to them
2.Find out the db logs ; give it to them
3.Get all the system logs ; give it to them
4.Segregate the login(system) , su , ssh , remote logins and give it to them
They'll be happy....and dont give them all teh logs from lsat week...start off from atleast a month back...hopefully u shud find all you need...
All the best from a fellow auditor