I don't really have a favorite set, but I do have some basic advice.
Find a chart that converts the different sizes for you... Something that will tell you 0.020 is a #76, and 0.0375 is a #60. That kind of thing. This will help when looking online for the size you need.
Buy a set only help determine what size you need. After that, buy the sizes you use... It is great to have a whole set of drill bits, but you will probably end up gravitating towards just a few sizes... Maybe a #78 for antenna. A #76 for pinning small parts. A #54 for larger. Whatever it ends up. But there is no sense in buying a set of 20 over and over, if you only use a few.
Expect the drill bit to wear and shear... The thinner you go, the more likely these drill bits will snap. Even if they don't snap off, they will eventually wear to the point that they are not drilling very well.
Don't buy anything fancy... I've seen drill bits with fancy bases that are meant to standardize how they fit in you vise/drill. But it isn't the base that will snap or dull, it is the part beyond the base.
Drills from the same manufacturer and same size are not always the same... I've gotten drills in a batch that I toss almost immediately, and others that seem to last forever. There is no knowing until you start drilling.
Buy in bulk the sizes you use... Typically I buy them in groups of 10 (I buy jeweler's saw blades by the gross)... There is nothing worse than being part way through a build, and the drill bit snaps, only to find out you don't have a spare.
I purchase a lot of my stuff through ebay... I type in something like "76 twist drill bit" and then look who has it cheap... Over time, there have been a few vendors I look for, but I don't fret if they aren't selling the size I need...
Caz