For drilling mild steel, tool steel, the dark cutting oil you use for black pipe threading works very well. You can get it at the Home Center usually, by Oatey. It’s high in sulfur content and that works very well.
For Stainless, I use Walter’s StainlessCut. There’s nothing I’ve used that’s better. It’s a tad pricey, but saves drills, tooling and blades and cuts like butter.
I use Walter CoolCut for aluminum. It’s water soluble and prevents galling and makes nice sized chips.