Castellated headers can be useful for mounting one PCB onto another.
To ensure a successful fab there are a couple things you should do.
When placing the holes around the edge, make the dimension line go through the middle of the hole.
On the bottom layer, place pads so the holes go through a pad. This will add more metal and square corners to the bottom to aid reflow.
In the middle layers turn off the copper rings around the castellated holes. In Eagle, in the DRC on the Restring tab, set the inner pad dimension to 0.
I've had success using Advanced Circuits with castellations. They have a check box on their quote form you have to check. If it doesn't work, email your design to their sales people and they will get a quote for you.