I'm with Neil on this one. Left-handed drill bits. I can't tell you how often I've gotten only a few thousands deep into a bolt and have it back itself out just because the drill bit is biting into it. If it's drilling bolts, I would rather have a cheap set of left-handed bits than a really expensive set of right-handed bits.
What I most often do take a dremel with small, round carbide bit (often an engraving bit) and put a starting hole into the bolt, similar to a centerpunch, to keep the bit from wandering.