Which type of drill bit to use for which material?

The choice of drill bit type depends on what the material is you want to drill. There are three kinds of drill bits:

Metal drill bits with a partially ground tip are suitable for non-ferrous metals. These include aluminum, copper, brass, zinc, iron and non-alloy steel. Drills made of cobalt-alloy High Speed Steel (HSS-E) or even drill bits with a titanium coating are needed for stainless steel. These are more expensive than normal HSS drill bits, but they enable drilling in special steel without a high level of drill bit wear.

These have a long centering tip with two pre-cutting spurs, and are well suited for drilling cleanly through wood.

These are used to drill through masonry and concrete in combination with an hammer drill or a SDS drill (a SDS drill is required for drilling in concrete). However, if the wall is made of porous perforated stones, only rotary (non-impact) drilling is performed. The same applies to porous bricks and boarded walls. For drilling in these materials you should use a masonry drill bit with soldered-in tungsten-carbide plates on the drill tip.