I have always found Hanson High Speed Steel drill bits with the 118degree included angle to be excellent. Don't even think about carbon steel drill bits. Cobalt drills are also excellent. Just for the heck of it go to the MSC site and read up on what kind of drill bits are available, what they are used for and what they are made of.
http://www1.mscdirect.com/eCommerce/...nce+Drill+Bits
Forget about Harbor Freight.