When i brake heavily in my car especially at high speeds i get a pretty rough vibration through my stearing wheel. What could be causing it? Is there anything i should consider replacing? or Is this pretty normal?

check you havent got warped disk's, if you have disk's. check your front wheel balance. but most likely be tie rod ends are worn. thats all i can think of for now.

discs need machining or replacing

I second that machine your disks or replace if they are undersized.

The first thing to check is that your front wheel bearings are adjusted correctly. If they are not then it can give you the illusion of brake shudder under sudden braking. Under normal braking it may feel o.k. If it's not your wheelbearings, then it's time to move on to the discs. Many people have overlooked the wheelbearings in my trade. It's like someone looking for hours at a cold start problem when they haven't checked the battery terminals!!

ill third machining discs.
this happened to all of our BA falcon work utes.

And i'll second the wheel bearings,especially on the older stuff.
I recently discovered an inner bearing to be rotating inside the hub!
Now this took some finding after all else was replaced/exhausted/checked.
The wheel hub was simply worn out and over sized over the years,a change of hub fixed the problem.

if your looking at getting them machined just buy new ones, cause the old onesmay even have hard spots in the steel....

rents have a late model saab 9-3, huge brakes on the front and developed a shutter, had them machined 3 times, came back afetr a few weeks.... disks were stuffed, got new ones and the prob never came back :P

and by the time they get machined 2 times, its just as cheap to buynew ones :P