I've been looking into bags too. While lurking on E38 I came across this polish company selling air ride kits cheaps! Seen some good reviews too.
One problem is that the website is all in polish, so I had to use Google Translate to make any sense of it. Also ordering them too could be tricky, as I don't speak polish! But I'll figure that out if I ever get the money for it.
I can run the kit on my TA Technix coilovers too, as they can supply a number of different shocks with their kits, and the TA's were one of the options!
Basically though, a full kit including compressor, tank, management, and lifting each wheel independantly was around £880 for my B5!
http://www.airride-system.pl/
UK supplier - http://www.fab-finishing.com/
I'm still looking into it all though. It'd be a big job to get it all fitted! Would need mine done in a day as it's a daily. Have access to tools and a ramp at work though which makes things easier...