Some years ago, I got cross-drilled and slotted rotors from
http://www.irotors.com for my Q45. These were Bradi rotors (sister company of Brembo) and I was happy with them (only used them for a few thousand miles though, as I recall). I don''t know if they have them for the various M models, though.
The most important thing to remember is that the weight of the rotor blank is important - it has to absorb heat too. So, if you start with a low-weight, low-quality iron blank and then remove some of it (with either cross-drilling or slotting), then its heat capacity goes down. And, fade/breaking is more likely!
So, I think that it is best to minimize the weight removal. If I had to make a choice, I would pick slotted-only now, in hindsight. Although, if the rotor blank was a good brand, with high-quality iron, etc., I think it would not be a bad thing to do cross-drilling either, as long as the drilling was done with a chamfer to prevent cracking.
Finally, if you think you are experiencing "rotor warp" or vibration, etc., even with stock rotors, then it is very useful to get a good brake technician to true the rotors and break the pads in properly when installing. The last Tech who worked on my M45 was excellent! It has been 13k miles since the work was done, and my car is behaving perfectly - no vibration and no problems with fade, even with hard braking!
Z