Recommend me some drill bits

Screwfix seem OK to me, I tend to go up in stages use a mix of oil/water to cool and lubricate and most important use a fairly slow speed.Too fast a speed will kill just about any drill bit.

I bought a couple of cheap Milwaukee sets from Toolstation years ago and one set is still in the wrapper. Slow speed (full trigger on the lowest speed on a drill is usually too fast), plenty of pressure and a splash of used engine oil and they don't go blunt often. Also learn to sharpen them properly, bench grinder/linisher is easiest but I used to use a angle grinder with grinding disc held in a vice.

Thanks all, I have been going at it a bit too heavy handed I think.

Only mentioned once, but more pressure than you might imagine is necessary.

To cut steel you need enough pressure to actually cut, too little and you just rub, creating heat and not holes.

It's all about heat control, hence the good advice to go slowly too.

You need to see swarf being cut out, and just lighten right off for the break through or you'll snap it.

Yes, as above, get the speed right, and get a bench grinder so you can sharpen them when they go blunt, then you only need to replace them when they get too short. I had a thing that fits on the end of my drill that would do sharpening, but it's more of a faff than getting the bench grinder going. The set I'm using at the moment for general drilling is a Halfords gold-coloured set that was in their bargain bin.

At one point I was buying drill bits from Focus DIY because I had a load of vouchers to get rid of, I seem to recall their individually packaged ones (I forget the make) had the speed on the back. Basically, the larger the drill, the slower the speed to use (as I am sure the link in the post by colnerov above says, now I've noticed it as I type this). I got through a couple of spot weld drills because I was turning them too fast, and had to buy replacements because I hadn't seen the bit in the "Making Panels" thread by tonybmw that showed how to sharpen (or create) a spot weld bit.

It’s very dependent on getting the right amount of bit sticking out of the end of the jig, and then you move it in an arc to do one cutting edge, before loosening the clamp and rotating the drill to cut the other edge
If this sounds confusing, it is!

I'm not a lover of coated drills for metalwork, Presto are my preferred, but not that easy to acquire these days, Generally I will grind my own drills without a Jig down to 3mm dia, then below that, they tend to be bin fodder, as most engineers do, I have a boxes of drills "ripe for" regrind, dread to think how many drills I have in those boxes, must be into the 1000s, I'm begins to think, as I approach full time retirement these boxes should be checked, and I'm sure a good few will be odd sized ones, Number Drills, Letter Drills, Reaming Drills and Tapping drills,

Start with Presto and Dormer both are excellent brands, if you need to drill anything hard or unusual they will sell you a specific bit makes life much easier.
I bought a big box of assorted for about £5 and its a god send.