Glastar Diamond Drill
I have tried many different bits to drill through glass, and the Glastar is far and away the best. There are cheaper ones, but they don't last as long, and they tend to shatter the glass more often.  You can find these bits at your local stained glass supplier, or online. Remember to use a slow speed on your drill, keep the bit cool with the water, and GO SLOWLY! Nothing ruins bits or your glass faster than friction.
To order a drill directly from Glastar.