This will stir some folks up, but consider a set from Harbor Freight (www.harborfreight.com). They're pretty inexpensive, especially when on sale, and aren't as crappy as they were a few years ago. I buy a couple of sets at a time for every day use on easy to drill materials. I toss 'em when they break or can't be sharpened. For more demanding work I use Chicago-Latrobe from Grainger but they're pretty pricey. I find I don't cuss nearly as much when I break an HF drill as I do when I break one of the pricey ones! You will need to learn how to shapen bits though. Out of the box some can be pretty bad but once sharpened they do a credible job.
 
Decent and affordable do not go along unless you make say $100,000 a year. If you want half way good ones buy them as you need them and get the top brand at the store you buy them at. That way you never brake the bank but you slowly get a good set of bits on hand. Been doing it that way for 30 years and still find I need a new one once in a while or of course when I brake one
 
I bought some cobalt drill bits from buydrillbits.com. I was really impressed with them, you can even re sharpen them and the edge lasts a long time. We used them to drill 52 holes through a double frame on a large truck to attach a hoist. I did notice that all of the bits above 1/2" had flat edges on the shank to allow for no slippage in the drill chuck. I broke two 5/8" bits this way, where as the smooth shank of the 1/2" bits would slip in the chuck.
 
I had some missing drill bits out here in my mold shop and bought the higher priced cheap drills at Harbor Freight have drilled several holes in pre hard tool steel and have not even tuched it up on the post grinder.

This Kinda Steel

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I have a set of "Rodman" brand bits. They have some special alloy in the tip of ordinary tool steel. These bits are hard enough that you can drill through a file with them. They have a lifetime guarantee. Break one, send it in for a free replacement. Only drawback is it takes a diamond wheel to sharpen them and they don't cut as fast as a high speed steel bit. Ordinary bench grinder wheels can be dressed with them.
 
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