I can recommend Silverlines cobalt drill sets.
http://www.silverlinetools.com/shop/PowerToolAcc/DrillSets/d34/sd208http://www.silverlinetools.com/shop/...Sets/d34/sd208
Good prices too.

We use them to drill holes in the circular saw blades we use for the wheels for our power tool drag racers. Circular saw blades are hardened steel and blunt normal centre punches. They ruin standard HSS bits. One 4mm cobalt bit drilled 8 holes no problem.

You should only need cobalt bits if youre regularly drilling Hardox, Ti or Stainless.

Always use lube if youre drilling anthing more than thin stuff - one of the main thing that damages drill bits is heat.