High-Speed Steel (HSS) is a popular material good for drilling into soft steels as well as wood and plastic.You can distinguish an HSS bit by its black color -- a conventional steel bit is chrome. If you're drilling through hardened metal, even an HSS bit can wear out quickly, and you may need one made from tungsten carbide or titanium.
Cobalt drill bits are extension of high-speed steel with an additional 5 – 8% cobalt element. It's much harder than HSS and seamlessly drills into harder surfaces.