Yep, Winston covers why you bore instead of drill in most cases.
I do still drill small holes on my Shapeoko though, using carbide spot drills or drill mills at relatively low speeds (3,000 to 10,000 RPM). I do this when the hole is too small and deep to easily bore with a sensible sized end mill (e.g. 2.5mm for M3 tapping).
There are both solid carbide short drills as Winston mentions and ‘drill mill’ cutters with a drill bit type pointed tip such as this one
This is designed for plunging into the workpiece and to provide good chip evacuation when in the hole whilst most end mills are capable of plunging but don’t particularly like it.
Note however that the pointed tip means you shouldn’t try a boring op with this type of cutter as the pointed tip will want to stay in the center of the V shaped bottom of the hole it is making. This makes it good at being a drill and bad at boring.
The main issue you’ll find (other than plunge rate, machine load, material burning etc. as Winston describes) is being able to fine tune the hole diameter as presumably you need an accurate fit between your cribbage pins and the holes.