You don't necessarily have to get new shocks when you get coilovers, it's just that's it's recommended because in due time, your stockers would blow due to the lower ride height.

As for recommendations, people here seem to like either Ground Controls or Skunk2's. These are the more popular "sleeve" coilovers that just slip over your shock. If you're looking for a true coilover, you could get the Teins or JIC or something of that nature.