I looked into bags for a bit, as I really could use the feature of having the car automatically maintain the same height regardless of load. I load the car up for windsurfing trips, and the cottage, a few times a year, so that feature would be amazing.
However, there seems to be issues with bags in the winter. I started reading about it on some of the forums, and they guys were saying, its not really a problem if you add a teaspoon of antifreeze to the system and then do monthly draining of the tanks.
At that point, I decided that I like the simplicity of coilovers. If anything, I would get some high end ones where I could adjust the damping to account for a heavier load. It would still have the car sit lower, but it would be controlled properly.
Or buy an Audi that has factory air suspension (except the Allroad). Some of the A6s have it, as well as A8/S8s.