The E46 M3 was very prone to this.
Mine had two rears replaced before i brought it.
How old are your STI shocks,as thats really relevant to how much life there likely to have left in them, and wether its worth fitting new springs or not.
What i will say is i have just replaced my shocks and springs with BC coil overs. The shocks i had were the WRX KYB's with a lowered spring set,they lowered the car nicely and kept the comfort which was fine, however the BC's are in a diferent league,the car feels so so much better,and its not even set up yet.I have spent a couple of days trying a number of settings and have now found a great setting which gives a firm but not harsh ride,but more importantly the car feels so sorted. Loving it and wishing i had changed years ago.
From what i know now, i personally would go for coil overs 1st then the exhaust,that way the car will handle when you stick a nice exhaust on,which lets face it will lead to you driving it a little harder