I have a box each of 13, 26, 35, and 43 mil (I think those are the right
numbers) carbide PCB drills. That plus a set of standard twist-drills
in letter/number/fraction sizes for weird holes.
The 13s are for vias (28 gauge brass wire is perfect for hand-soldering
these)
The 26s are for small parts (1/4w resistors, through-hole ICs, etc)
The 35s are for larger parts and sockets
The 43s are for soldering wires to the board (22ga etc).
As for drilling, I use a dremel on a custom stand for small boards:
http://www.delorie.com/pcb/dremel-stand/or my CNC machine for big ones:
http://www.delorie.com/photos/cnc/