I would not go with grooved or dimpled; these features can help remove dust and increase the surface area of the rotor exposed to air to improve cooling, but also makes the rotor's mass distribution less uniform. If grit or foreign objects cling to the rotor this can produce something called <i>torque instability</i> or <i>dynamic instability</i>, especially at high speeds; it's similar to braking on a warped rotor. Dimpling on the contact surface increases cooling but also DECREASES the contact surface area, which reduces braking power. This also may not be street-legal in some regions.
Drilled and vented are both trade-offs. Dale69 described vented quite well - the rotor is a bit heavier and thicker, and not all OEM calipers designed for solid rotors can accomodate a vented part. It helps increase the rate at which the rotor cools and so helps deal with brake fade. Having more mass means the rotor can absorb more thermal energy and so heats up more slowly. However, more mass also means more rotational inertia, so it can have a modest impact on fuel efficiency, especially when braking and accelerating a lot.
Drilled means the rotor has holes drilled straight through after casting in a symmetrical fashion. It helps reduce the mass of the rotor and so reduce the wheel assembly's total inertia. The holes themselves increase air turbulence, which is bad for turbos but good for cooling brakes; turbulent air heats up more quickly and so helps improve rotor cooling. But by reducing the rotor's mass it also will heat up faster during brake application, so again there is a trade-off.
Not all features are available on all applications; the rotors I installed on my wife's work van are vented AND drilled, so there's pretty much all the benefits without any real sacrifice. Hope you're more informed. Cheers!