If you're not in production or need to drill harder materials, don't waste your money on anything other than quality HSS 135* split-point drills and a can of proper cutting oil. Split point drills not only drill easier, they also have less of a tendency to walk when you're starting to drill your hole. If you need your hole location to be accurate, always center punch the location or better yet, use a spot drill if you're using a drill press, mill, etc.
Using a proper cutting oil will reduce wear on your bit, improve hole accuracy, and make drilling faster and easier. For general purpose drilling/tapping in most metals other than aluminum, I prefer Relton Rapid Tap. When tapping larger stuff > 3/8" / M10, I prefer to use dark sulfur based cutting oils. For general drilling and machining of aluminum, WD40 works well, it's inexpensive, and easy to apply. When tapping aluminum I use Relton A9 specifically made for the task, but WD40 works in a pinch.
Regarding Cobalt, here's a post from Forest Addy on the Practical Machinist forum regarding cobalt drills. Forest is one of the Grey Beards, Grey Beard over there and forgets more in a day than most will learn in a lifetime. In my book, he's the machinist's equivalent of Jim Williams
.
"...Cobalt HSS drills are intended for stainless and hardened alloy steels where heat and abrasion are factors in the cutting environment. They feature “red hardness” and hold their edges when drilling the toughest materials. Cobalt HSS drills are intended for severe duty meaning they are made with thick webs and smaller gullets. Consequently, chip clearance will be more of a problem when using cobalt drills especially when drilling deeper holes. Unless you're drilling stainless, very hard bronzes, heat-treated alloy steels, or titanium alloys, so-called "cobalt" drills are overkill. Cobalt HSS offers no advantage in drilling wood, mild steel, and softer non-ferrous metals.
There are some myths about cobalt drills. One may be attracted to the cobalt drills sold in sets at the big box stores; some with colorful coatings. The old set at home might be dull or it might be a cheap set purchased on impulse from an import seller. So you buy a set of cobalt drills for about triple the price of an equivalent quality HSS set. What kind of performance improvement can you expect?
Of course new drills work great because they are fresh and sharp from the factory and there is the "placebo effect" associated with every new purchase. The thrill fades after some use and a few hasty free-hand sharpenings. In the end the new cobalt drills perform no better than your beater set. You spent the money and you got… what?
Marketers are quick to pick up popular misconceptions and exploit them ruthlessly. Thus we see "cobalt" HSS drill sets at low-price importers. Whether they actually perform as well as an honestly presented cobalt bearing HSS alloy (M42 or equivalent) we have no way of determining by appearance alone. It's only when we get them to the shop and attempt to sharpen one can we tell by the sparks (sparse red-orange streamers) and abrasion resistance (high) if we bought the genuine article. For the unscrupulous importer “cobalt” drills are just one more gimmick to extract money from the naive home shop purchaser.
It's the metallurgy that makes the difference in drill performance and while budget Asian import tooling is improving with time their metallurgy can be dubious. Therefore I strongly suggest you purchase your M42 drills from a quality supplier, not from knock-off sources - and then only the sizes you need if the purchase of a full set is not clearly indicated. Expect to pay $350+ for a real 115 pc cobalt drill set.
Consider your workload. Make your purchase decision on the basis of your actual need and the materials you usually drill. The performance superiority of M42 cobalt HSS drills over M1 HSS in their recommended application is significant. If conventional HSS drills perform poorly in your particular line of work (stainless steel yacht hardware for example) then moving up to a cobalt bearing HSS drill may be a good idea. "
----------------------------
Carbide is by far the hardest of the bunch and will cut just about anything. This comes at a cost both monetarily and in durability. Because they are so hard, they are very brittle. Speeds, feeds, and the rigidity of the machine tool are critical to maximizing their life. I do use them on occasion in hand drill motors mostly for drilling out Socket Head Cap Screws that some ignorant gorilla over-tightened and stripped out the socket trying to remove them. More often than not, the drill doesn't survive intact, typically chipping the lips especially at the corners. I have never broken one in half (they won't take any amount of radial loading). As Paul mentioned, they are easily sharpened with silicon carbide or better yet diamond but a quality mask or respirator MUST be worn along with good ventilation as carbide dust is nasty stuff. Unless you have very specific needs and the correct equipment, stay away from carbide (outside of masonry bits).