OK, here's the "straight dope:"
Mount boxes, etc with self drilling screws ("Teks" or "Silver bullets").
Drill small holes with (first choice) DeWalts' "Pilot point" bits, or (second choice) bits that have a 135 degree 'split point,' rather than the standard point. (Look at the bit from the end... if the point looks like the letter "S" it's standard; if it looks like the a bow tie, it's split).
Greenlee sells the most widely available set of "rotary broaches" for cutting larger holes. These sort of resemble shallow hole saws, but perform infinitely better. I believe Greenlee calles them "High speed cutters" or some such. Run them on SLOW speed!
Where there is a wood piece in the way, you'll have to cut the wood out first with a regular hole saw.
