The cheap drill bits were softer and flexed under the pressure while still biting. Good drill bits are harder, hold an edge better but will heat up and glaze over causing a dull cutting edge. When drilling hard material use a carbide tip drill bit.
Bosch, Hanson, Osborn make good drill bits & center drills. OSG, SGS makes good end mills for boring and cutting.
I've had a cheap drill bit set that actually bent and twisted open without breaking. Gotta love offshore quality.