Drilling into hard materials requires the right drill bits, but also the right technique.
On hard wood, the bit tends to drift away from the proper spot. Either centre punch a starting hole, or simply turn the drill on backwards first. Running backwards the bit will not wander. It doesn't dill well, but it does make a starting dent in almost any hard material, from hard wood to metal to ceramic tiles.
When you use a masonry bit you should use a drill that includes a hammer function. This bit works best drilling through soft material and pounding through hard stuff, like rocks.
When drilling through thick metal you need something to cool the drill tip and lubricate it. There are special cutting oils available at most hardware stores. Use common putty to create a dam around the hole and you get more cooling with less oil.
One viewer suggested taping cardboard to glass to keep the bit from wandering at the start.
Cutting into ceramic tile with hole saws covered in carbide dust rather than teeth is effective. It is even more effective if you can do it with a water spray both for cooling and lubrication.