Here in Fort Worth a respected independent only uses KYB for replacement unless another brand is specified by the customer.
This shop claims to have had extremely few KYB warranty issues vs. Billstein. The shop also claims that the KYB shocks moderate the jarring feel when going over bumps and potholes somewhat as compared to billsteins (esp. HD). I have KYBs in my wagon and OEM Billsteins in my 95. I would say that the wagon has a slightly
softer ride, but that may be due to the extra weight and the self-leveling suspension in the wagon. Also all the bushings in the wagon are likely to be a bit softer due to age. The 95E300 has 143,000 on the original shocks and the ride is about the same as when the car was new. There is a set of 25 year old KYBs in my 3.0cs that still work perfectly.
So which is a better part? Hard to say from my experience. I'd say
that if your interest is in performance, go Billstein. If cost and a smooth ride is of more importance to you and you don't drive at the limits, KYBs will probably work just fine.
In either case, they are both easy to install, at least in the W124.