I'm running H&R race springs and Bilstein sport dampers. It's a bit harsh for daily driving, but when I pull through a tight freeway junction at speed, it's somehow worth it. I've been considering switching to eibach sportline but I feel like that's probably gonna be more of the same.
To answer your questions, you can try to see if you can drive a few cars with different suspension set ups, but the best thing to do is, as others have said, is simply a ton of research. Read reviews, threads, ask around, etc. Keep your 'ear to the streets' as they say.
Also, it helps to consider what type of driving your car sees. Do you autocross, track, daily drive, etc.
1999 Techno Violet Metallic BMW M3
2005 Audi B6 S4 quattro 6MT
2004 BMW 330i
1986 BMW 535i