I wouldn't get KYB, and you cannot go wrong with Sachs which is OEM. If you have more money you can go Bilsteins HD. I never used the Bilsteins Touring, they might just work fine.
But gas shocks still have oil in them:
GAS SHOCKS
Definition: A type of shock absorber that's pressurized with nitrogen gas to reduce internal foaming and cavitation. Considered to be a premium grade shock, gas shocks are often used as original equipment on sports sedans and even mini-vans. A gas shock usually provides noticeably better ride control and flatter cornering. They're well worth considering if you're in need of replacement shocks.
'85 Euro 635csi Race Turbo, megasquirt, Group A
'92 525i Touring 5 speed, 3.46 diff, UUC 8.5lb flywheel, soon to be turbo.
'02 Subaru WRX Wagon with STI springs, bigger sway bars