The road here can be a little bit rough sometimes, so I was wondering how I could improve the ride. How about upgrading to an air suspension system? Would that improve the ride? How much would such a job cost on a VW Golf Mk6?
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tl;dr: Consider new tires instead.
If you provided a little more information, the answers might be more focused.
That said, here are my short answers: No and too much.
Let's think about some goals and parameters:
How rough is "a little rough"? Annoying for you? Or just the passengers? Are you losing fillings? Teeth?
Do you care about handling? How much are you willing to sacrifice for a cushioned ride?
What else can you tell us about the car? Model year? Tires currently in use? How are the suspension bits? Struts in good shape?
What sort of budget are you considering? I.e., can you put a cash value on how much the ride bothers you?
My suggestion is to stay simple. Changing to an air suspension is going to be expensive in cash and hassle factor.
Consider, instead, the tires on the vehicle: I pulled up a page from Tire Rack and found a variety of Grand Touring tires that are probably relevant and might be more to your taste. Read the reviews and remember that the tires are your first line of defense when it comes to general bumps on the road. If you go with a more compliant design, some percentage of those annoyances will be absorbed before they get to the rest of the suspension and, thereby, to you.