You didn't search enough if you thought Blues were coilovers.
Coilovers are a “spring & shock in one”, are usually damper adjustable, and have many height settings. They also provide a firmer ride in general, which means better handling, but also means a harsher ride on bad roads. Shock/spring combos are bought separately (unless they come together in a kit), and assembled together to make up the suspension. There are basic shocks, shocks with damper adjustability, and shocks with both damper and height adjustability. But no shock will give you the height versatility that a coilover will, unless it is paired with a coilover sleeve instead of a spring.
Neither setup is really better than the other, it depends on your suspension needs and what you want to achieve relative to height and ride comfort. But never pair lowering springs with OEM shocks.
As for cost, all depends on the deals you find. But if you plan to buy everything brand new, coilovers usually come out a little cheaper.