Holemaking | MSCDirect.com
Drilling and drill bits: 69,409 items, so lots to choose from. Generally, I find cobalt drills to be a good compromise between sharpness, longevity, and versatility.
Pro-tip (machinist for 20+ years here): Unless you need the length of a jobber (regular length) drill, buy stub length drills. They are more rigid, create a truer hole, and generally eliminate the need to c'drill.
Plenty of good advice here, but to be honest, there are so many variables that go into drilling that it can take years to get it right for all materials and conditions.
Good luck