Variety box of drill bits used to drill holes in wood and concrete. Each drill bit will differ. Here is an intro to 22 different types of drill bits to illustrate the idea! https://www.theengineerspost.com/types-of-drill-bits.
Basic rules of thumb:
Before deciding on the correct bit for your task, make sure you pick the correct hand or power drill or driver. See the guide ‘Choosing power drills and drivers’ to help you with that: https://edinburghtoollibrary.org.uk/guides/#drill
Not sure about the size? Start with a small drill bit size, and work your way up.
When drilling masonry, sometimes masonry is soft, so start without the hammer action and use it in bursts afterwards if need be.
Smaller drill bits on softer materials work with faster speeds (usually speed 2 on a combi drill). Larger bits require slower speeds (often 1 on a combi drill)