btw:
the rep from Drillco taught me:
what "we" call drill bits are actually drills
and
what "we" call drills are actually drill motors

I haven't found anyone else who talks this way.... but 1/4" isn't 0.250 to me either... ;)

We have some Makita Cobalt bits that are excellent... I think they came off ebay... Find a good brand and pick them up cheap....

Correct. It's actually "two hundred and fifty thou." Or, more simply, "two fifty." SmileWavy

The hardest thing I have to teach a new hire is that there are no fractions in a machine shop.

Yes, I am a dork. :D

Checked your profile, but didn't see where you are. Travers Tool is a company I like for drill bits, etc. They have a place in Duncan, SC which means my order is on my porch next day with UPS ground shipping. They have selection from cheap to quality bits. They have a website.

Seems like you've got good recommendations as far as USA bits and the Cobalt bits hold up better in deeper holes. If you are using a drill motor, mechanics lenght, which is shorter than the standard jobbers length would be good. A split point is better in that it starts easier.

Go to your local hardware store and buy the American made bits. If you are using a drill press, it will be a piece of cake. The last time I drill a bunch of 1/4" steel for a stair case was done with my local hardware store American make bits. I just keep spraying it with WD40. I had to drill something like 50-60 holes. I was only just able to kill 2 drill bits. Went to the grinder to sharpen it right up. Go slow and keep the bit cool. Once you see lots of smoke, back off and spray or put a little ATF on and around the little hole. Are you drilling tool steel? Try to get a bit that's been grind for steel. If you are using a drill press, it shouldn't matter all that much but... How many holes?

one more thing:
the 135 degree split points start quicker and straighter than the 118 degree - you usually don't need a pilot hole - a center punch still helps for precision unless you're using a press.

Absolutely the last place in the world I would go for drill bits is HF. The quality of their steel is the worst I have seen in years. Same for cutting blades for a sawsall.

If you want to drill, get a good bit.