Ron's Note: There are split-collar drill stops available that clamp around the drill bit by tightening a set screw using an Allen wrench. Here are three sources. Prices range from just over $10 to more than $30. Be sure and read the reviews on the less expensive model ... opinions are mixed.
If you need to drill several holes to exactly the same depth, there are three simple depth gauges you can make from things you'll find right around the shop.
Technique number one calls for tape. Wrap the tape around your drill bit at the depth you want the hole, wrapping it around the bit in a clockwise direction. Drill until the edge of the tape reaches the surface.
It is possible to over-drill when using tape, so here's a method that will prevent that. Hold a piece of 3/4"-inch dowel with a vise or a pair of multi-grooved pliers and drill a hole through the center.
Trim the dowel to the length you need it and slip it over the bit. Now, when you reach your desired depth, the drill will stop on its own.
And finally, the third option is to take a piece of copper electrical wire, insert one end into the drill chuck, and begin wrapping it around the bit in a clockwise direction. Wrapping clockwise (as you face the drill) is very important. This will keep the wire from unwinding when it touches the surface into which you are drilling. When you've wrapped enough wire around the bit, use a pair of needlenose pliers to tuck the end of the wire in place. When you drill, you'll have both a visual and mechanical stop. We got this tip from the folks at the Airstream Trailer plant (thanks, guys!).
Well, there you have it. Three simple ways to make depth gauges for your drill: tape, stop lock, or wire.