There is a wide variety of "High Speed Steel", each alloy having it's advantages and disadvantages. Quality bits will specify the grade. At the bottom end of the scale is T1, which has the advantage of being cheap. Ok for softer metals like aluminium, but won't last long in steels. M2 is a tungsten-molybdenum steel and about as hard as T1, but tougher, so less likely to snap. Good for drilling mild steel by hand and not stupid expensive.
Cobalt can be added to the alloy to improve heat resistance and edge retention. M35 is a 5% cobalt HSS and M42 is 8% cobalt. Both are suitable for drilling medium to hard steels, M35 being preferable for hand-drilling and M42 for machine drilling. This is because M42 is harder and will retain an edge longer, but hardness comes with brittleness, so M42 is not as tolerant of misalignment. And as you might expect, M35 is somewhat pricey but M42 is worse.
At the top end of the hardness and price scales are the solid carbide drill bits. Machine use only, and especially useful for drilling into work-hardening alloys, they are very hard, very heat-tolerant, but very brittle. And very expensive.