Cheap steel bits (either low-carbon or high-carbon) dull easily and can loose temper; HSS bits (high speed steel, a form of tool steel) are harder and cut faster; Cobalt (HSS with added cobalt) are very hard and can drill stainless steel, but are more brittle than HSS; carbide-tipped bits will drill tile and masonry.
Different coatings can be applied: regular black oxide reduces corrosion and increases life somewhat; titanium coatings in various forms reduce friction and can increase drill life.
Proper cutting angle, sharpening, lubrication, and correct speed for the particular drill diameter used and material being drilled are also very important factors in cutting efficiency and life of the drill.
