I bought a 115 piece index set at a local supplier, that I've been thrilled with. Drillco "Nitro" line. They're M-7N molybdenum HSS with nitride coating, and they seriously out perform the contractor brand cobalt/ti/whatever bits that the big box stores carry. Also, the set only cost about half of the suggested retail listed on the website, and my supplier carries most of the sizes in stock to replace as needed.
Generally speaking, from what I've seen, youre going to get better performance and a better price on items like these by finding a local supplier vs a national home improvement or hardware type store. Remember, cutting steel effectively is way outside the realm of necessity for your average DIYer.
As far as what sizes you'll need, it highly depends on your use. Pin stock can vary a lot if that's what you're needing them for, so you might consider a small set of the smaller sized fractional/number/letter bits. Northern Tool carries some medium quality sets at reasonable prices, although be aware that a lot of them are incorrectly labelled as "cobalt", when they're in fact cobalt coated, which isn't the same afaik.
