There are a wide number of drills in many different conformations, and they have very different characteristics.
A twist of metal won’t do. You’ run the chance of skittering all over the surface of whatever you’re doing, because they have no sharpened leading edge to cut into the metal. The drills used most commonly by both jewelers and machinists are twist drills. These have precision cut angles on the tip of the drill to draw the drill through the hole as straight as possible. These are called HSS drills-High Speed Steel-and are actually made for drilling the softer varieties of steel, plus aluminum and wood. They are not great for copper, brass or silver. For copper and brass the angle has to be recut. For silver, which is a “sticky” metal, you should use various commercial drilling lubes on the market.
There are literally hundreds of shapes in the bits for flex shafts that can make holes. But these are grinding away the metal, not cutting it, and you have somewhat less control.
I won’t get into hand drills, such as pump drills where you can use flat metal sharpened on one edge and other configurations. They’re harder to use accurately, but like all other hand tools, life savers when you hit a situation you just can’t do with power tools.
Don’t forget, I’m a watch maker and drilling is more important in my trade (art?) than is is in jewellery.