This is a trick question that people will answer inaccurately based on their emotions.
Choosing a setup appropriate to your car requires a lot of research and calculations.
Is it FWD or RWD?
What is the total weight of the car?
What is the front/rear weight bias?
What kind of driving do you want to do and on what kinds of surfaces?
What suspension type does your car run (double wishbone, mcpherson etc)?
Do you want height adjustability, or just permanently lowered to X height?
Do you need any other adjustability?
Do you need the shocks to be serviceable or the springs to be replaceable?
You could ask many more questions before getting close to the perfect setup.
With coilovers, the spring rates are engineered to suit the weight distribution and suspension geometry of the vehcile they are designed for - and the shock valving is chosen to withstand those rates comfortably.
The work is done for you and you get the added value and flexibility of height adjustability and the ability to fine tune the dampers.
As long as you match the spring rates to the type of driving you want to do, most coilover setups are a fast and flexible solution that most people will say is superior to springs/shocks.
However, if you know exactly how low you want to go and what spring rates you want to run and you've done some research on the valving on a series of shocks, and adjustability is of no concern to you (aside from maybe having some control over the dampers), then it might work out a bit cheaper to combine a shock and spring of the same quality as found in a coilover package.
Tein has a HUGE product range. An entry level coilover might use a shock of lower quality than a Koni yellow, that is most likely because that coilover was never intended to load spring rates higher than what it came with, whereas the Konis need to have a wider range of use to appeal to their intended market of custom spring rates. However, in the middle to uppe end of the Tein market, there are products superior in quality to any off-the-shelf Koni shocks.
So again, it is down to the individual. A perfect solution for one person might be a waste of money for another.

