For holes smaller than 3/8" I generally use ordinary twist drill bits like I’d use on metal.
For holes from 1/2" to 1" I generally use spade bits.
For holes over 1" I generally use a hole saw.
But these ranges are soft, and it doesn’t matter much which type I choose where the ranges meet.
Nearly any kind of bit can go through drywall, because it’s so friable, though I don’t know if some are better than others at withstanding its abrasive effect. One thing I wish was different would be that drywall leaves so much grit clinging to the bit, and it’s hard to get off unless I actually wash them, and leaves a mess in my toolbox. Another thing I wash was different would be that all of these usually leave the paper part of the drywall puffed up and fuzzy, possibly to be carved away.
For plastic wall anchors, I often just pick a phillips screwdriver of appropriate size and bash the handle with a hammer to make a hole. Otherwise, just a twist bit or spade bit, as there really aren’t any other options.
2nd this, although I prefer the metal over plastic. The only annoying thing is when you hit a stud and it makes a mess of the drywall as the pilot end snaps off
I agree. For hanging pictures and stuff these work great. After you screw the anchor in with the Phillips screw driver, you then just drive a drywall screw into the anchor with the same screw driver. No mus no fus.
Back to the OP, if you do need to drill for whatever reason, just a standard wood bit is fine. If you need to drill thousands of holes, perhaps there is a specialized bit.
With paper, it’s best to use a punch, not a drill. A good punch is hollow-core, with a sharp edge, slanted. You can use a double or triple point, but with drywall you rotate the punch to cut the paper, you don’t drive all the way through, because you don’t always get a clean cut at the apex of the cut-out.
You can actually use a device like a sheet-steel punch, that holds the surface from behind while punching, but it doesn’t work very well, and why bother? Nobody cares about the back of a drywall hole.
Here’s my weird thing: Those close-threaded masonry bits. Looks like a bolt with a blocky head.
The head can be use as a punch to break thru the paper, the close threading doesn’t grab and try to rip up the paper edge. The tight spirals ensure just dust coming out of the hole so the hole is smooth sided.