If you prefer more sporty handling and adjustablility the Koni Sports are the way to go. I've got Koni Sports on my car along with 2011 M Sport springs (which are linear) rather than the 2009 M Sport springs (which are progressive) that came on my car. The combination of the Konis and the linear springs makes for a nice setup and a good compromise between ride and handling. My rear Koni sports are the externally adjustable ones that HP Autowerks sells. The regular rear Koni sports are not externally adjustable.
I currently have the front dampers set at one full turn from soft and the rears at 2/3 of a turn from full soft. Those settings seem to work well for me and my set up, but I may turn the fronts another quarter turn to see how I like them. My car also has an E93 M3 front sway bar and M3 control arms and tension rods. Overall I'm very happy with the set up.
From what I read and been told the FSDs are better than stock, but not nearly as sporty as the Sports and of course they are not adjustable. The front Koni Sports are easily adjustable with the adjustment knob on top. The rears are harder to get to, but still have the adjustment on top.
2009 BMW LeMans Blue 135i/Dinan Stage 2 tune/Alufelgen SF-71s/M3 suspension components/Koni Sport adjustable dampers/ETS FMIC/M3 paddle shifters/Alpina B3 TCU flash