The cheapest is a spade drill. They usually come in a set for under $20.00
The next type is a brad or spur point, also in sets from Harbor
Freight for nice clean holes in wood:
These are auger type twist drills and are self feeding. Usually used in construction in a hand held drill since they will feed in rapidly, not a good thing in a drill press. I have some that are 24" long for running electrical wiring between floor joists:
The next step up in $$ is Forsnter bit and these are the best for drilling in wood, leave a clean hole also from Harbor Freight:
The worst bit for drilling in wood is a common twist drill and they come in various grades from carbon steel to carbide to Titanium coated, the gold ones which are also available from Harbor Freight in a set. The dark one on the right is a carbon steel, them HSS steel in the center and the Titanium on the left also available from Harbor Freight in a set of sizes or all one size. You will not find a carbide drill at Harbor Freight!
Twist drills are best for steel or aluminum as shown here:
I use all types and grades. I drill a lot of stainless steel which is very hard on drill bits, so I sharpen them myself using a jig. For wood, I use the spur bits or Forsteners. I haven't used a spade bit in years.
Say what you want about Harbor Freight, but for a lot of uses the drill work fine. I have sharpened the Forstners using a flat diamond plate of the cutting edges. I break a lot of drills in the stainless, so a cheap disposable bit is OK.
For really large holes use a hole saw. This set is from Harbor Freight, but I use higher quality ones also from Greenlee. They also come carbide tipped for masonry:
There you go, the "HOLE" story in one post....well maybe.