For drilling out retaining pins I use a carbide tipped masonry bit. I burned through a ton of HSS bits till I used the carbide bit. Mucho better.
As for drilling cylinders, well we don't talk about that here. But I do not use a 1\4" HSS or coated bit when I don't drill them out.
Actually, now instead of not drilling them out, I pick them and replace with a common cylinder. (company policy to replace with new cylinder) This way instead of trashing the carcasses of old locks, I have more practice locks.