Coilovers use a threaded sleeve with a moveable perch to adjust the ride height of the car. Some coilover kits, that sleeve is welded or part of the shock body (usually called true coilover kits). The ones most people are listing (Skunk2 and Ground Control) are add-on threaded bodies that slide over the shock and give you the adjustablity. Coilovers have an advantage as you can set the ride height just the way you want and if you can find someone to do it, have the car corner weighted (slightly adjust the up and down on each corner to balance the car). You can also corner weight a car with just springs and shims but coilovers are far simplier.

The downside of coilovers are they are a little more expensive (Ground Control and Skunk2 setups usually go for around $300) and I personally don't think they ride as well as normal lower springs. Coilovers use a shorter and much stiffer spring than most replacement lowering springs and that gives you a rougher ride. You loose the adjustablitiy, but how often do your think you'll adjust them anyway. You also throw your alighnment off each time their moved.

Here's a pic of a coilover shock off my friends old eclipse. They were skunk2's with Tokico blues (I think they're called HP's now). By moving the perch up and down, you can adjust the ride height. These shocks were not adjustable and held up pretty well. His stock shocks we're completely shot after 3 days.