Confused on what kind of drill bit I need for my sheet metal project I have been looking at drill bits, and I have found so many kinds that I am overwhelmed on what I will need.

Firstly I found a few types.  Regular drill bits, step drill bits, countersink bits, spade drill bits, etc.

I also found, on the regular drill bits, that they come in different coating i/e titanium, cobalt, diamond, etc.

I am looking to cut into a 1/32" or so piece of stainless steel sheet metal, and have been doing okay with using regular metal (I think metal, hopefully not wood) bits.  

I noticed that Step Drill Bits were recommended for "Sheet metal" but I am scared I will cut too much with that and make too big of a hole?  In the drill bits I noticed there are different kinds.

Dewalt had some "Pilot" type bits, but had titanium and cobalt coating.  Apparently the Cobalt is used for thicker/stronger metals, and requires a lubricant?  I am not looking to go crazy with some super bits and lube, I just want to make sure I can clean cut without breaking the bits.

Any help is appreciated with this issue.
You'll be fine with regular drill bits but make sure you run the drill at a fairly slow speed and cool the drill bit with a few drops of water or oil around/in the hole you're drilling.  These type of drill bits are made from something called high speed steel or HSS, which is fine for drilling steel unless it's high carbon steel (you'd know if it was).  You could also use a TCT (tungsten carbide tipped) drill bit, which has a harder tip. Don't use a diamond bit.