My favourite these days is a new cheap Toolstation HSS steel drill bit for pilot holes in mild steel, where a good sharp drill can be the difference between perfection and off centre failure, especially when removing broken studs. The drills are a little brittle, but cheap enough to be disposable. They come in packs of 10. Once I have a good pilot hole, then like RoyC, I move over to a set of Cobalt, which keep their edge for a good time even if they get a bit hot. Recommended you use some sort of lubricant with them to maintain their life. I am a great believer is using each driil in the set as you enlarge the hole, gives them all a bit of use and though it may take longer, puts less strain on your cordless drill battery.
In the good old days it was the best plan to go for HSS, Dormer and INTAL were my preferred brands. We had all made the mistake of buying big sets of soft carbon steel, breaking the smaller sizes in minutes. Then we wised up. HSS by DeWalt, B&D and Heller would be the modern day equivalents.
At the Homebuilding Show at the NEC , Birmingham, UK I saw a guy demonstrate some amazing drill anything bits. With a cordless drill he he sailed through steel, cast, stainless, brick, concrete, stone all with the same drill bit Fantastic, but as the set included some sizes you use for shipbuilding, I passed on them.
Swarfcut