I also vote for the third groove. I swapped out my Eibachs (which were sagging) for OEM springs mounted on Bilsteins, into which I had a third, lower groove machined.
The ride quality is now better than with the Eibachs, especially over large bumps. Additionally, the OEM springs should never sag, unlike the Eibachs and the Bilstein shocks should last longer than the OEMs.
The only real problem I've noticed is the one goldNSX mentioned, that the spring carrier on the rear shocks gets closer to the tire the lower it's mounted (the lower you have the third groove machined). I had my third groove machined 5mm lower than the lower of the standard grooves, if I remember correctly. At that setting, the gap between the spring carrier and the rear tire (245/40 ZR 17 mounted on OEM 2002+ rims) is down to about 1/4 inch.
The only other "issue" I've seen regarding Bilsteins with a third groove is that you have to be careful where you have the groove machined, since you can't adjust it afterwards.
Another option would be to get a set of collars from Dali to make the Bilsteins infinitely height adjustable (
here), set them just where you want them, and if they rub in the rear, get some spacers. That would slightly increase the unsprung mass, however.