As antss noted, they are required if you're working with stainless. Cobalt is more abrasion resistant and will withstand higher heat levels than standard HSS drills. Stainless work hardens, which means if you're drilling holes in it, you need to attack it with speed and force. A brand new HSS drill will drill stainless, however you'll only get a couple of holes before it dulls. A dull HSS drill just rotating against the stainless surface will generate heat and thus, will work harden the surface. Good luck getting through that hardened layer of metal.
Over the years I've slowly replaced almost all my HSS drill bits with cobalt versions. I use them for all metal drilling including aluminum. If purchasing some, look for M42 which will be stamped on the shank.
As far as brittleness goes, I've never noticed a difference between HSS and cobalt. As a matter of fact, just this week I was drilling some ASTM structural steel and I chipped the tip on one of the last HSS bits that I own.