This is a tricky question, due to newer materials and the 'Max Power' style ricers too many people use the wrong type of disc.
Start at the beginning:
1. solid disc - these are as they are named one solid peice of metal and are prone to getting massivly hot
2. Vented discs - these are two solid pieces of metal with gaps in between making a 'vented' area. These are standard issue on most performance or heavy cars today. They are very good at heat dispersal, but can be prone to warping, did you know if you have vented discs you shouldn't hold a car on the foot brake! The constant pressure of the piston is what causes them to warp.
3. grooved or cross drilled - these will normally be vented but can apply to solid disc too. The main design of booth the grooves and the cross drilled holes is 'scrubbing', they are supposed to clean the brake pad. Some people also claim they have better heat dispersal - this is a grey area!!!
Cross drilled discs are prone to cracking, as they heat up and cool rapidly if used on road or rally cars. Circuit racers use the brakes alot harder and a lot more of the time so its not an issue, as they don't suffer with the rapid heating and cooling. Drilling a hole in the disc introduces a weak point in the metal. Although this is not an every day occurance that they crack, it can happen.
Grooves are not normally a cause of cracks and are a better option for road cars. Some companies get around the problem by not drilling all the way through the disc such as EBC
I have these on my XJS
Other things to look at are disc diameter, the larger the diameter the greater the braking force (works in the same principle as a screwdriver is easier to turn with the handle over gripping the shaft, it has a greater rotation/lever force).
Larger swept area, the bigger the contact between pad and disc the more friction.
Disc size is not always easily changed, so a good compromise is ANY good quality vented disc (does not have to have grooves - although it may look better with them), high temp competition brake fluid (this is the main cause of brake fade, if the fluid boils the pedal will go spongy), and a suitable pad. A higher/harder spec pad is often good (it may squewl around town), don't get a too higher temp range pad though as it won't work very well until warmed up.