What brand of....

As others have said, it depends on what you are doing and how much you want to spend.  A few of my preferences:

For all around Twist Drill Bit Sets check with your local industrial supply for Cleveland or Chicago-Latrobe (C-L), they are what many machine shops use

An inexpensive set I have gotten a lot of mileage from - Black & Decker Silver Bullet (doesn't require a center punch in metal and doesn't wander in wood)

Brad Point - Colt (Germany) from Woodcraft (very sharp, good hole quality, fast cutting)

Auger - Irwin Industrial (extremely fast cutting with good chip extraction) for 2X lumber etc.

Masonry -  Bosch

Router Bits - (depending on amount of use) Festool, Whiteside (a different bit each month at Woodcraft for 20% off, a good way to build a set if you can be patient), and Freud.
 
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