OK ... let's look at the advantages and disadvantages of drilling rotors:
Advantages:
1) Weight Reduction
2) Heat dispensation
3) It looks very cool
4) Makes a sound like a flying bee when you brake (or at least mine does)
Disadvantages:
1) Improperly done, it'll add vibration to your wheel
2) I've heard that a brake rotor, if it breaks, breaks between the drill holes
3) Possibly could wear your brake pads quicker.
I talked to a mechanic about drilling rotors a while ago ... here's his recommendation:
1) You can do it yourself, but be very careful to balance the wheel. Being off by a degree can lead to catastrophic failure due to weight imbalance.
2) Modern rotors are scalloped for performance rather then drilled. Scalloped rotors provide the same advantages in terms of heat loss, but since you aren't going completely through the rotor, the likelihood of rotor failure is greatly reduced. Any good machinest should be able to do it for about $35 a rotor.