The Home Depot, Sears and Harbor Freight sell diamond drill bits for use on glass. Some diamond bits are designed specifically for wet or dry drilling applications, while others can be used for both.
The Home Depot stocks Rigid, Dewalt and Bosch brand diamond bits for glass that also work on porcelain, ceramic tile, marble, slate and stone. Sears sells the Findingking 32-piece diamond bur and 1/8-inch shank set that's good for hobbies, jewelry, crafts and lapidary. The set is designed to drill and finish glass and many other materials, including gold, platinum, silver, fiberglass and stone. Harbor Freight has a four-piece diamond rotary bit set available.