I have top dollar ones, I have hf. Can't tell them apart. 3 pc hf set was 15$ or so.
If you just want to experiment with the concept, the step drill sets at Harbor Freight work quite well for the money.
If you're cutting things like sheet metal and plastic, they'll pretty much last forever. And the sets let you make nice round holes in a wide range of all sorts of oddball sizes like 13/16" etc.