I too live/drive around London and I'm running Bilstien B14 coilovers. Now they've fully bedded in they're almost as comfortable as stock but handle so much better. They're worth the extra outlay in cost, especially when you combine them with Audi RS3 top mounts (just renew the rear top mounts with OEM items).
They just help stiffen things up further and help reduce the suspension moving side to side when cornering, in short. It's always advisable to renew top mounts with shock absorbers anyway, and the cost of a full kit from ECS Tuning (available via PSI Tuning.com) is well worth it. Also gives an even more "new car" feel to the ride.