Take a look at the BMW Shock Absorber and overall suspension upgrade I did on my 1999 BMW M Roadster before I traded it a couple years back. I do miss it, and was verry happy with the suspension upgrade I did on the car.
First I installed the KONI Sport Shocks. They offered great performance and rebound adjustability so the ride didn't suffer any more then I wanted. At the same time, I lowered the vehicle with some H&R Sport Springs with a very mild drop of 1.3 inches. Here is a picture of the finished product!