Drilling through steel is not an everyday home repair activity, and drill bits for metals are the most expensive. Regular drill bits can't cut through steel, so you need a heavy-duty, hard drill bit to do the job. There are two types of drill bits that you can count on for metalworking projects: titanium and cobalt.
Titanium drill bits are high-speed steel drill bits (HSS) that have a titanium oxide coating. They are very hard, and corrosion-resistant. They last much longer than regular HSS drill bits, and they are good for cutting through any metal, including metal sheeting. Titanium drill bits are harder than cobalt, but because they are coated, they can't be sharpened. Cobalt drill bits are made of cobalt steel, and they can be sharpened. They are also highly resistant to heat and are very hard and abrasive. They are especially good for drilling through stainless steel, cast iron and titanium.