I believe what DL is suggesting is DeWalts "Pilot Point" drill bits.
They have a nub on the end that resembles a center drill and a common rake on the cutting lip like a standard twist drill.
http://www.google.com/imgres?q=pilot+point+drill&um=1&hl=en&safe=off&tbm=isch&tbnid=5EbK6Yy5YITDkM:&imgrefurl=http://www.micro-machine-shop.com/drill_bits_countersinks_reamers_counter_bores.htm&docid=LbVeevs67FllrM&w=640&h=472&ei=PgpmTs2aFYjpgQfKhayWCg&zoom=1&iact=rc&dur=618&page=1&tbnh=126&tbnw=176&start=0&ndsp=21&ved=1t:429,r:9,s:0&tx=108&ty=85&biw=1024&bih=707Brad points have an inverted rake like so:
http://www.google.com/imgres?q=brad+point+drill&um=1&hl=en&safe=off&tbm=isch&tbnid=Qw4TRVRnxQPALM:&imgrefurl=http://xiushunjie.en.made-in-china.com/product/cqyxTGvEbiVO/China-Brad-Point-Bit-Wood-Brad-Drill-Bit.html&docid=6za_1UP5cqdkvM&w=400&h=284&ei=LAtmTsjmH5LrgQfY3cmTCg&zoom=1&iact=hc&vpx=717&vpy=238&dur=32&hovh=189&hovw=267&tx=187&ty=85&page=1&tbnh=135&tbnw=192&start=0&ndsp=22&ved=1t:429,r:10,s:0&biw=1024&bih=707Gabriel is correct in saying that brad points are NOT for steel, aluminum either!
DL is also correct in suggesting a cutting fluid when drilling steel.
I'm going out on a limb and am guessing that you want to use a "Brad Point" to through steel because you are getting out of round holes.
Triangular shaped holes are caused MOSTLY because drill diameter is so much larger than the material thickness.
What happens is the cutting tip breaks through the material well before the outer cutting lip is engaged. This then relies on the cutting lip to keep centered on the material that it is cutting. (doesn't give great results).
The relatively small diameter of the pilot point pierces though the sheet metal first and engages into your backing material while the relatively shallow grind of the cutting lip stays in the material.
The other 2 factors contributing to this are too fast speed and insufficient clamping or rigidity.
To get nice round holes in sheet metal you need a follow a few guides.
Back your workpiece with a nice
hard dense material, NOT OAK. Maple, MDF, aluminum etc. (Oak's grain changes density so much it will actually force the drill bit to follow the less dense pulp)
Make sure your table (drill press) is clamped very tight and your workpiece and backer are flat and held firmly. (if you are hand drilling you'll never get perfect holes, but you
can get acceptably round holes following the rest of the suggestions)
Use cutting fluid
If you still get triangular or oblong holes, reduce cutting speed, if you are getting chatter (saw toothed edge where cut) reduce cutting pressure.
There is a book called "The Machinery's Handbook" This is THE bible for machining almost ANY material, it will give you speeds, feed rates, correct cutting tip angles and so much more!.
I have a PDF version I keep on my shop computer.
Ray