What you will need all depends on what you will be usign them for.
All bits are going to rust eventually, I drill mainly metal with mine, so there is aways some cutting oil residue on them.
There are many different options available to you
Lets start with Material they are made with..
1. HSS (highspeed steel)
2. Hss coated in TiN(titanium Nitride, TiAN, TiACN, etc.)
3. M-42 Cobalt steel
Generally, HSS bits are softer than cobalt or coated HSS bits. The Coating on bits, such as Titanium Nitride bits is harder than cobalt bits which are uncoated, however Once this coating is worn off on the cutting edge, or you stick the bit in a drill doctor, you are left with a plain old HSS cutting edge, and only the flutes are coated.
There are different points available as well, But generally the 2 big ones are 118 degree and 135 degree. 118 degree is very general point, great for when you are using a drill press or you already have a pilot hole. bits with a 135 degree point claim not to need a pilot hole/center punch, but I usualy drill one anyway.
For steel, Id say Go with either Cobalt of coated bits, and either point. You arnt going to get away without a centerpunch. If its mainly going to be wood or sheetrock and only a hole in metal once or twice, Save some cash and get a good set of plain HSS bits.
As for the dewalts somebody posted, they are offered in both cobalt and TiN coated.
I havbe had good luck with dewalt, but for tapping, i have had to buy many individual bits of oddbal sizes.
The brands I like are...
Dewalt,
chicago latrobe ($$$$$)
hanson/irwin
bosch
Blu-mol
cleaveland twist ($$$$$)
I have a set of plain old black oxide coated hss bits from craftsman that i only drill wood with, and they work well for that.
PM me if youd like to know more or if you want any opinions
hope this helps.
Jim