Just out of curiosity, what are you drilling? The material that you're drilling might be part of the problem if you're not using the proper type of bit for the material you're working with.
Personal opinion, I primarily use cobalt bits. More pricey than reqular HSS and TiN coated, but they last much longer and hold up very well to abrasive material like cast iron. I get mine from the local Sears store.
