Of course the most important accessory for your cordless drill is going to be a good set of drill bits. The two things you want to look for are the material the bit is made out of and the coating. Regular steel bits will vary greatly depending on how much carbon content they have and how well they were tempered and hardened. But that doesn't help you much unless you specifically know the metal processes a manufacturer uses. Luckily you can look for High Speed Steel (HSS) which is a heat resistant metal and thus will hold its edge better when it gets hot. You can also look for Cobalt Steel alloys. These are essentially HSS bits, but they are somewhat more brittle than regular steel. This means they'll hold an edge very well, but are more prone to breaking.
There are several different kinds of coating for drill bits. Coatings will provide heat and corrosion resistance thus extending the life of the bit. They will also provide lubrication, meaning the bit generates less heat in the first place. All coatings will wear off after time and become ineffective, but they're still worthwhile because while they last they make the bit quite a bit better. Black oxide is the cheapest coating. Better is titanium nitride (TiN) and better still are titanium aluminum nitride (TiAIN) and titanium carbon nitride (TiCN)
So for the best all-around drill bits I pick the Milwaukee 48-89-1105 1/16-to-1/2-Inch Titanium-Coated Twist Drill Bit Assortment . If you'd rather have a cobalt set look at the Bosch CO18 18-Piece Cobalt Twist Drill Bit Assortment . Just remember the cobalt bits are more likely to break so don't manhandle them. Take care of them and they will last a long time since you can sharpen them.
Next up is the quick change set. This consists of all the bits you need with 1/4" hex shanks. Hex shanks pop right in and out with no need to tighten. In a set you're looking for enough twist bits, enough screw driving bits (phillips, square, etc.) and the socket adapters so you easily put on sockets. The best example of this is the Bosch CC2130 Clic-Change 27-Piece Drilling and Driving Set with Clic-Change Chuck . If you're just looking for the socket adapters look here .