Here's some pictures of what you guys are talking about...for the big ones I made the last pictures...hole saws come in different sizes. One of the issues you want to consider is how to chuck them up. My first picture above shows how I did it...as UJ describes but it is sort of a PITA...
Personally I think the simplest is the Harbor Freight approach...price is right and they chuck up....they don't go past 1/2" though
For larger ones the hole cutter saw works...takes some grinding.