Very cheap coilovers - lets you scrape the ground. Usually poor damping control
Cheap coilovers - Not much better
Mid-range - better handling than stock, usually not as comfortable
Premium - much better handling, great damping. Usually harder than stock. More adjustments, compression and rebound, but you can get them re-valved so they can be more comfortable than stock.
The Best - you can choose better handling and better ride comfort than standard. Even more adjustments, high & low freq. compression and rebound.
Same applies to non-coilovers, except you don't get ride height adjustment, unless you like swapping the springs out. In general, from cheap to mid-range you better off with non-coilovers. The best will be the likes of Penske, Ohlins and Nitron to name a few. starts from £2000 upwards, used by world class rally teams. KW, Bilstein occupy the premium and mid-range, they may have one or two models in the other sectors. AP, FK, Monroe occupy the budget side of things, JOM the lower end of that.
Personally I think VW have got the Mk5 GTI spot on for most people, in terms of handling and comfort. Even my 110k GTI still rides well and the damping is pretty good. I'm sure it can be improved, but short of going for Bilstein B8 dampers and better, it'll be a retrograde step to go for anything less refined.
I've been in an E46 M3 that had a 3rd party £3000 suspension setup. Ohlins with new bushes and new steering coupler. The best handling street car, that is more comfortable than a 5 series or GTI. It was plush and compliant, dealt with potholes very well and gave exemplary feedback.
Also if you want super low, go air ride. The short answer, eibach springs, lowers 20-30mm. Next step same springs, Bilstein B8. Also check your bushes for wear. You can get adjustable ball joints for more camber adjustment. WALK or SALK for more castor.