If you use your brakes really hard, such as at track events, I would recommend that you avoid cross drilled rotors. They WILL crack if subjected to rapid, extreme temperature shifts. This is true even on cars that come with cross drilled rotors, such as Porsche and Ferrari. I have a fair amount of experience in this area and I will not sell or use cross drilled rotors in most applications.
Besides, the improvement in braking performane is negligible. If you're looking for significant improvements in braking performance I'd suggest looking at different pad compounds or upsizing the brakes. Of course, even these ideas have a downside but it's not as extreme as having a brake rotor come apart...
'93 190E 2.6 Sportline