To drill a satisfactory hole in any material, the correct type of drill bit must be used; it must be used correctly and be sharpened as appropriate.
Many jobs around the house require a hole of some kind to be drilled - whether it is putting up a shelf, building a cabinet or hanging a light fitting.
For basic requirements, a set of high-speed steel twist drills and some masonry bits will probably be sufficient for the average handyman. But for more sophisticated jobs/material, others bits will be required - perhaps larger, or designed for a specific material/purpose.
Good quality drill bits can be expensive, so take care of them, keep them in a case or box if possible, rather than allowing them to roll around loose in a toolbox where the cutting edges may be damaged.
Learning how to sharpen drill bits is cost effective, it better to keep a bit sharp by occasional sharpening rather than waiting until it becomes really blunt. A sharp bit cuts better with less effort whether used in a power or hand drill. A sharp bit will also give a cleaner hole.