Of the three, the uncoated HSS is the cheapest option. It will cut fairly well through a very wide variety of materials, but not very well through extremely hard materials like granite and higher carbon content steels.
Titanium Nitride (T/N) coatings on HSS bits give some extra heat dissipation and increase the usable life of the bit by keeping it cool. No other properties ... having it on the tip can enhance the life of the cutting edge, but if you try to cut extremely hard stuff it's pointless.
Cobalt alloy bits are extremely hard, and should allow you to cut the extremely hard stuff that can't be done very well with HSS and T/N coated bits.
The difference between 135 degree and other angle bits is how aggressively the bit chews into materials. 135 degree is better for harder materials, like metals. It takes a smaller "bite", so the edge doesn't wear as quickly. More aggressive bits go through softer items quite a bit faster without nearly as much wear ... this is common for general purpose and wood cutting bits.
The "split point" performs as a pilot function, allowing one to more easily keep the bit in line for drilling without "walking" or wandering over the work surface. You may also want to go ahead and center punch hard materials to assist in this. Brad point bits also perform in similar manner ... there are several such gimmicks to assist in drilling a hole where you want it to go.