This is a fun subject. Maybe it depends on the manufacturer. All Brembo Big Brake kits comes with drilled rotors. I have had my brembo drilled rotors on now for over 112,000 miles and never had any issues with cracking or vibration from warped rotors. And they still look sweet. I will buy another set in the near future.

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2010 X5M /// R63 AMG...Wifey's 540HP Family Hualer

2001 X5 3.0i Sport 335,448 miles & counting...
SMG M3 Steering wheel
E46 Stainless Racing Headers
4.6is Exhaust
Turner Pulleys
Afe Intake
Brembo drilled rotors
PowerFlex Bushings
Hualingan
30mm H&R Spacers rear
20mm H&R Spacers front
Bavarian Autosport High-Performance Coils
Active Autowerke's Performance Software