First step: clear the confusion. As other answer states, the spring and the damper are complementary systems that work together in order to provide the desired ride characteristics. As for bike suspenssion regards, there are two main kinds of suspension components, based on the type of spring: Coil and Air. Most suspensions have hydraulic dampers regardless of the spring type.
Second step: To each its own. Asking wether air or coil is beter can get you in those kind of almost religious debate. Instead, I'll try to expose a few points of comparison so you can make a better decision:
- Weight less than coils.
- Are easily adjustable to a broader range of rider weight/activity type/ride skill or technique.
- Have a cleaner, simpler look.
- Most of them require a special pump to increase the spring preload (reduce sag).
- Usually have a lower cost.
- Are heavier than air springs.
- Most can have the preload/sag adjusted by hand.
- Have a narowwer range of adjustment, to make further adjustment the coil has to be replaced by a different one, wich may not be easily obtainable in your particular location or may not be available from the manufacturer.
- Have a messier look and require a little more dedication for routine cleaning.
Further up, it is more important wether the shok absorber is the correct fit for the bike frame and the discipline in wich it will be used. For example, a shock designed exclusively for XC may never excel on DH for a normal wheigted rider. If you are buying a complete bike directly from the manufacturer or a reputable dealer, they should only offer the correct shocks for the frame, so it's up to you to choose a bike that fit your intended use. Also if the same bike is available with different shock options, make sure the one you pick is suitable for your riding.
Finally, getting the right equipment is only the beginning of a customizing process. If you are changin the type of bike, you will have to go throug a fitting and fine tuning cycle that will be somewhat affected by your own ability to adapt to a new geometry, weight and ride characteristics. This process involves fine adjustments to the shocks. Most shocks have at least these adjustments:
- Preload (or how stiff the shock feels)
- Rebound speed (how fast the suspension returns after a bump).
Some specialized shocks may have more adjustments. In either case, read the shock specific user manual for the model you get.
All of the above also applyes to MTB suspension forks, except for the looks and the routine cleaning part.