Better is subjective, based on what your needs for the car are. the OEM suspension is a good mix of comfort and performance. And with it being a mass produced part for hundreds of thousands of cars, BMW needs to be able to have the parts made economically, so they can turn a profit. So in most cases, an OEM suspension is decent, but may not have the features you can get with a nice aftermarket setup.
Aftermarket setups can give you stiffer springs for better cornering performance, height adjustability, and damping adjustability. So if any of those things are important to you, and you can sacrifice a little comfort, and/or ride height, then that's why you would switch. Otherwise, if you are happy with the stock suspension, then stick with it.
Edit: branabolic pretty much summed it up.