Get a drill dorctor, that will give you years of use out of a single set of bits.
In the past I've liked the dewalt pilot-tipped drill bits, they seem to cut through mild steel real good. But as far as I know, you can't sharpen them, so in the past few years I've since started using regular drill bits from McMaster.
I like to keep my bits organized by size, and have at least 2 or 3 of each size (I keep every size in 1/64ths from 1/8 to 1/2, and then only the sizes I use regularly from 1/2 to 3/4). Once one bit gets dull or breaks, I throw it in my "Sharpen Me!" bin, and every now and then I whip out the drill doctor and sharpen a bunch of them and then put them back in the drawer where they belong, ready to use again.
I like that system, I always have fresh drill bits even after breaking or dulling one, without having to stop what I'm doing and sharpen that bit just to finish the project.
Bits that I use alot (1/4" and 3/8" for instance) I keep 5-6 new or freshly sharpened bits ready to go.
Using a center punch, then a center drill, and THEN the actual drill bit, and a drill press (when ever you can) will make things easier too. Anytime I break a drill bit, it's usually when I'm using the hand drill, or when using way to slow of a speed and pressure on the drill press for a small bit.