If you want to lower the car a little, then the spring replacement is the least expensive. Many Audiphiles prefer the German H+R springs which will lower the car approximately 1.5". You could also use the factory sport suspension which will lower the car only 20mm. I would go with the H+R if you are going to bother with any change at all since I like the extra drop. Bilsteins are popular shocks.
Coilovers will be more expensive but will give you a completely adjustable ride height independent of whatever spring rate you choose. That's an option you don't have with just changing the springs. If you can afford the coilovers, that's the way I would go. Koni makes a coilover although they are a bit more expensive unless you find them on sale.
All the Audi aftermarket and tuner shops offer these, you can read about everyones opinion and what they are using in the techinical forums at:
http://forums.fourtitude.com/
VB