Tom, like you mentioned, the "normal" metric sets runs in 0.5mm steps. I just buy the 0.1 in-betweeners as needed. When it comes to drills for taps and reamers, I buy the appropriate drills when buying the taps or reamer.
Some of the metric fine sizes will have "funny" metric drill sizes; for these, just use the nearest larger 0.1mm size, like Admiral_dk said.
There are 0.05mm increment drills available, but they are a bit more expensive.
Here's a link to some
There might be 0.01mm stepped metric drills available too; I didn't search.
As for "Thats alot of drill bits", I don't think so. To get a set of Imperial drills from .001" to 1" in one thou steps are 1000 bits. To get a set of metric drills from 0.05mm to 25.40mm in 0.05mm steps are 508 bits. If metric did 0.025mm steps, it would be the near-equivalent of one-thou steps, but in metric thinking, the next step down would be 0.01mm requiring about 2500 drill bits. IMHO, I think drill differences at this small level becomes a moot point in a hobby shop, as drills are rather crude at cutting accurately-sized holes ;D
I've had very limited exposure to imperial drill sizes, but here's a rough equivalent:
When I grew up, my dad had a set of drills in an index from "small" (I can't remember the size) to 1/2". My equivalent metric drill index ranges from 1mm to 13mm in 0.5mm steps for just about the same set of drills, with just about the same amount of drills in each. So it becomes more an issue of using the closest size drill needed for a job, and matching up the bits & pieces that must go into the holes.
Regards, Arnold