I collect driil sets the way Retro collects sockets. The best set that I have for the tough jobs are made by Rodman.
http://www.rodmanandcoinc.com/rodmanandcoinc.com/item04c5-2.html?UCIDs=1307321|1307323&PRID=1492961
I bought them at the county fair after watching the demo guy drill through concrete block, tool steel, ceramic tile, and glass all with the same bit. Company support is first rate too, I broke the 1/8" bit while trying to drill at an angle and sent the broken bit back to Rodman for replacement. I got a letter back a week later telling me they received the manilla envelope but the drill was missing. (I hadn't included a note telling them what I needed.) But based on the indentation the drill had made in the envelope they guessed (correctly) that I need a 1/8" bit and included it with the letter they sent. Great service.
To keep the rest of my drills sharp I bought a Drill Doctor 750X.
http://www.drilldoctor.com/
My Dad could sharpen a bit by hand on a grinder but I never got the hang of it. The DD is easy to use and even does split-points. I've sharpened enough bits with it to pay for itself.