SOme decent quality HSS bits are usually about as good as you'll get for general work. I've had cheap HSS, good HSS, titanium coated, and cobalt and nearly always keep coming back to the HSS. I've got more sets (or remaining partial sets) of cheap HSS bits around here than I care to count. Cobalt is great for drilling very hard steel... but as someone else said... the slightest side load and they break. They're a lot of money for continously broken bits. Sometime you get lucky and the tips break off... but usually NOT.
Just sharpen the better HSS stuff and you'll get along fine.