Most of the cross-drilling these days is done for looks, not for performance. This is why every brake manufacturer on the planet offers cross-drilling; because they can sell it and people are willing to pay for it, again, mostly for the looks.
The advantages of cross drilling these days are that it creates more surface area for the rotor to lose heat, and it lightens the rotor. I haven't seen much yet on how effective the heat reduction actually is, but some pro race teams do still cross drill their rotors, so I don't dismiss this out of hand. The weight loss may be the primary motivator for race teams. For a street car they're really only for looks, but since a lot of people want the looks outfits like Baer are more than happy to take their money.
Another thing to remember, though, is that the real racers that are cross-drilling their rotors change the rotors frequently. The cross-drilling creates the opportunity for the stress fractures that YellowSHO has pointed out, but for race teams the rotors seldom get old enough for that to be a problem, or are at least inspected frequently enough that they're always changed before a failure occurs. Street cars seldom get that kind of attention, and tend to run a long time on a single set of rotors.
Several months ago I went out to Baer's place to pick up my brakes, and in their lobby they have some examples of rotors that have failed in what must have been pretty spectacular manners. Just looking briefly at them it looked like they'd failed at fractures around the cross-drill holes. One was a large two-piece rotor that tore the hat apart when it failed.
Many people get the rotors slotted, which isn't nearly as bad for the rotor strength and reliability, but which is also largely for looks for a street car. Again, though, many race teams do slot their rotors, and I'm not really even sure why. Most modern pad compounds don't need the slotting, and I've wondered why even bother? It may be one of those things where there's less reason not to do it for a race car than there is to do it.
My car sees a lot of track use, and I've always used just plain, flat surface rotors. This gives the maximum amount of surface area for the pad to work against, and the least amount of hassle for maintenance (easy to turn, don't need to worry as much about cracks, etc.).
As usual, though, get what you want. YMMV, etc.
