Glad, drilled rotors are for professional racing machines that swap their rotors EVERY race. Crossdrilling stresses the rotors at the drilled points, and when they heat up, cracks appear between the holes. Ever watch NASCAR? You'll red-hot pieces of rotors flying off on the track. They cool faster, but stress faster, too. If the holes are CAST into the blanks, they're not as dangerous, but remember, this is less surface area for the pads to contact. Many shops in my neck of the woods won't even turn drilled rotors for liability reasons.
Slotted rotors, on the other hand don't have this problem, cuz the slots don't go all the way through. The slots allow the gasses from the pad material to escape to the outside, rather than produce the 'air hockey' effect between the pad and rotor. They also tend to shed water MUCH better than smooth rotors, or drilled.
People put drilled rotors on their cars to look cool, or to last ONE race. Put slotted rotors on your car for performance.