When you're drilling a hole, you'll want to drill a little and then back the drill out. This will help clear the chips.

Drilling a 1/4" hole in 1/4" stock
Drilling a 1/4" hole in 3/4" stock

If you want to drill a large hole, it is often best to "step up" to that size. So if you want a 1 inch hole, start with a 1/2 inch hole and then enlarge it with the 1 inch drill bit.

Drilling a 1" hole

Chatter

If you're running the drill too fast, it may start making a chattering noise. This is caused by the drill bit deflecting and jumping around the hole as it's coming in contact with the part. Reducing speed will usually make the chattering go away.
A chattering drill
Cutting fluid

Sometimes you should use cutting fluid when drilling. Choose by looking at the aspect ratio -- if you're drilling a 1/4 inch hole through a 1/4 inch piece of material, then the aspect ratio is 1:1 and you probably don't need cutting fluid. For larger aspect ratios, such as drilling the same hole through a piece of 3/4 inch aluminum, the chips have more difficulty being pulled up the flutes and cleared by the drill, so tend to bind around the drill. In this case it's a good idea to use cutting fluid.