Drilling a hole isn't rocket science but it can be quite frustrating if you don't know how to do it. For example, if you try to use a wood auger bit to drill a hole in metal you'll ruin the bit, score the metal and possibly injure yourself in the process. Drilling a hole correctly, however, is something you can easily accomplish with a little practice.
For most applications around the house and when working on your vehical, a small set of common twist bits will normally serve your needs. You'll also need a drill to turn the bits and some tools to measure and mark where you want the hole. This includes a ruler or tape measure, a pencil or scribe and if working with metal, a center punch and a hammer.
The first and most important step is marking where you want the hole. In the photos I'm working with metal so I've used a scribe to scratch a line in my piece. You can also use a scribe on wood or plastic. Sometimes even a pencil will work well. As long as you can see your marks and they don't rub off when working your material, it doesn't normally matter.
I've also used a center punch to more aggressively mark the spot because the punch mark will hold the tip of the bit in place until it begins to cut the metal. Without a punch mark, the bit would drift around. If it did eventually catch, it would quite likely be in the wrong location.
When drilling deep or large holes, it is best to drill a small pilot hole first. This is very helpful when drilling deep holes because it's sometimes easier to keep the hole straight with a smaller bit. A larger bit will then normally follow the pilot hole. When drilling larger holes, especially in metal, the pilot hole opens an area in the metal to accomodate the tip of the larger bit so the cutting surfaces can more easily reach the uncut metal.
Once you've drilled your hole, you'll probably find a burr on the back surface of your material. This can be removed by lightly drilling the back side of the hole with a larger bit. If the material is thin, such as sheet metal, instead of a burr you may find the material is actually distorted leaving a ragged hole. This can be prevented by sandwiching the material between two pieces of wood before you drill the hole.
As with all tools, exercise caution, wear safety equipment and learn to use the tools properly.