I have found the coatings actually do little. OK, if drilling cast iron so no oil, the lower friction may help the cutting edge stay cooler, so positive for that. Mild steel, well if you are not using oil, your fault. Wood? All totally irrelevant unless may being production quantity in Pulpelheart and in that case, shame on you for not using carbide. Stainless, well better be using a Cobalt alloy bit anyway. I have used one of these steps in SS, but it will dull really quickly. I might see if they make one in Cobalt. ( Just drilled the hole for an O2 sensor bung last week.)
Look at a used one under a magnifying glass and you can see the cutting edge is not coated after the first hole. I have used a diamond hone to tune a couple of mine. so obviously, it is not the edge that remains coated. My favorite one is a smaller one with smaller steps. It is not coated. All of mine ( just counted 7) are single edge. Two edge may lead to a triangular hole like a twist drill. Faster, true. A few cheap ones have a round shank where most have a triangular shank to help prevent spinning in your chuck, especially a hand tight one. I have found they tend not to jam in thin stock as easily as a twist drill.
IMHO, In most cases, I think it is the bling factor of gold color vs black oxide or raw HSS that is most significant, not actual performance. Performance comes more from the base alloy of the bit.
Titanium nitride - Wikipedia
To say it is a form on Nitrogen is like saying water is a form or Hydrogen. Very misleading.
I would agree to look at the brands and history of who makes the longest lasting bits. There are a lot of at least attempting to do objective testing of twist drills on the WEB. All HSS is not the same and the finish quality is not the same. I now buy packs of bits in plain HSS from machine tool suppliers rather than big box stores. Mostly for smaller than 1/4 inch as I am not good at sharpening small bits.
A lot to take in. Far more if you GOOGLE carefully.