Drill bits are often made of steel, cobalt, and carbide. Each material has its own unique advantages and disadvantages. For example, carbide is a very hard material suitable for making drill bits, but the hardness of the material also means increased brittleness, which can mean that softer bits can fail catastrophically (breakage) under certain conditions. Steel is usually hard enough to do the job and flexible enough to prevent breakage from carbide failure. This is especially important if the drill is handheld, so the angle changes slightly during drilling. Frame stabilizing bits won't change much, so there's less change in the angle (and subsequent negative effects) of the bit. This makes steel the best material for drill bits for hand-held drills.
Steel grade
Softer mild steel bits are common because they are less expensive, but they are less wear-resistant and need to be sharpened or replaced more frequently, reducing value for money. These are mainly used for drilling wood, although even harder woods will wear them faster than softer woods.
High carbon steel bits are more durable to start with, but if they overheat during use (which can be caused by friction when drilling harder materials), the tempering of the cutting edge can be lost, resulting in a softer tip, resulting in Decreased performance. These are typically used for drilling wood and some metals.