I am still using the machinist 115 piece HHS drill bit set in the gray metal box I bought back in 1970.
They make a cheap look alike today with gold nitrated bits for 39 bucks, in 1970 I paid an awful price of $150.
The nitrated drill bits are good value in a pinch but I find they don't resharpen more than 5 or 6 times and then they are junk.
You cant even try to re-harden them, but they are still good for quick, easy and cheap, then toss.
I also have a set of Norseman Magnum super premium that I use just in my 17 inch drill press only.
The drill press is 16 speeds which others have mentioned is essential for getting the most out of your drill bits as well as steel hole saws.
The pilot hole is almost always needed with a hand drill, not quite so much with a drill press though still a good idea.
I have some step drills as well, the cheaper 3 for ten bucks are good for 1/8 inch, if you want to do 3/8ths then pay the extra cost for a good step drill.
As mentioned I have also used a file for a quick sharp when in a hurry and a bench grinder for years.
But my daughter bought me a Drill Dr some time back and it is so easy it has made me lazy, great machine actually.
If you are drilling anything bigger than 1/8 use a lubricant.
Also don't use a drill bit to wallow the hole bigger, go to the next size up.
The bottom line as far as I am concerned is to buy good drill bits right up front, might be expensive as all get out, but over a lifetime it will be cheap and you wont have to sit forever waiting for the drill to go through something as it squeals away in agonizing pain..............
Al