A common combination for BMWs is H&R Springs with Bilstein Shocks. This combo would be less than a coilover kit. If you are planning to go for a complete suspension package with anti-roll bars as well, than I would suggest H&R. Since they offer coilovers and anti-roll bars which would've been designed to work together.
When it comes to Coilover comparison, I honestly think it becomes a very personal opinion. I've tested both H&R and Bilstein, and both are huge improvements over stock, but they were on 2 different BMW models, so can't really compare against each other. I don't think anyone actually has put these kits onto the same car, and did a proper side-by-side comparison.
The general feeling you get from everyone's feedback is that bilstein's are recommended if you track the car, and H&R recommended if you drive on the street. But then again, track-dedicated BMW M3s (LIke the American Le Mans entry) are fitted with H&Rs. :S