So you're looking for new discs and you see some drilled ones, you think "Yeah, they'll make my car look cool and they'll be really good at stopping too!"
This is what happens:
All the grooves that go around the disc are caused by the metal around the holes breaking up, like this:
That metal then gets picked up by the brake pad and scores the disc as you can see. This means that the friction surface is reduced, which means your car won't stop as well as it should. It's not uncommon for the discs to crack between the holes, either.
So... if you want better braking, either get standard discs, uprated pads and new fluid (maybe even some braided brake lines too), or buy GOOD quality discs; either just grooved, or if you really want the holes, look for discs that have the holes cast into them as opposed to drilled (but they'll tend to be very expensive). The best set-up I've ever used on a road car (without a big caliper conversion) was Tarox G88 grooved discs and Tarox Strada pads.
If you've got some cheap drilled discs, it's worth throwing them in the bin, or at the very least, checking them regularly. When they start to break up, change them.