Vince, cross drilled rotors are not legal in some racing venues. In the SCCA Production classes, they are not allowed.
There are two types of "drilled" rotors, those that are actually drilled, and those that have the holes cast into the rotor during manufacture. Stay away from the drilled rotors, as there is a very good chance that a crack will propagate from the holes. The cast rotors are stronger.
The track I do most of my racing on is very tight, and the brakes get a lot of use. Brake fade and overheating has never been a problem for me.
They are totally bling for the street, and should you have nice, hot, rotors about the time you hit the next puddle of water, the noise you hear will be a rotor cracking.
A much better choice to optimize your brake performance is a good set of pads, such as those offered by Hawk.
Just my tuppence, of course.
Jeff