I mentioned some special drills previously, but here is a page just on drills.
A handy item for about $10, is a little set of stubby drills. These are hex drive, so they work well in a regular drill chuck, and also in any kind of hex drive electric screw driver. It should be noted that these are not the same as screw machine bits designed to be used for precision drilling, and are not high quality cutting tools.
Aircraft extension bits. These are useful for drilling through several aligned work pieces, reaching into deep areas, or flexing to drill at difficult angles. A set of inexpensive 12" extension drills in sizes 1/8, 1/4, 3/16, 5/16, 3/8 and 1/2" are a good addition to the tool kit. Longer and higher quality bits are available for a lot more money. We used the 1/2" and 3/8" for the drilling jigs when we drilled the holes in the upper arm for this year's robots. You can also get these in longer and higher quality versions for more money. The cheaper 12" ones run around $10-$20 each depending on size. A cool thing you can do with a 1/8" bit is flex the drill while running so that you can arc into a place you can't otherwise reach. This works because only the last couple of inches of the drill has flutes and you can guide the smooth part by hand (with gloves)
Center drills. There are a lot of different types, but for our work, a set Nathan and I both have has been useful. These are also called "Combined drill and countersinks." These drills are very useful for drilling precision pilot holes because the cutting tip is much smaller than the body of the drill. The smallest size (#1) is easy to break, so I have a couple of spares in my tool cabinet. For precision drilling, I also recommend a couple of other tools, shown here.
Zero flute countersinks. Maybe the team's favorite cutting tools. We have used them both for countersinking and for drilling largish holes. They are also great for de-burring. I have the set illustrated below, which is $109.55 at Amazon, but they can be bought in singles. We have used the 5/8" one more than anything. There are two types of zero flute countersinks - with and without pilots. In the illustrated set, teh smaller ones do not have pilots, so the pilot hole and the feeding force do the centering. The larger ones have pilots, so the right size pilot hole needs to be drilled first, but then the pilot keeps the tool centered at the beginning of the cut. The picture to the right shows pilotless deburring bits, which are similar to the countersinks, but have not pilots.