During the 19th Century, auger bits were made of hot rolled cast steel.
However, they are now most commonly made from high carbon tool steel, which is harder and more resilient.
This is slightly softer than the high speed steel used to make other drill bits, but it is not necessary for a bit to be quite so hard when it is primarily designed for cutting wood. Auger bits are also used at a slow speed in comparison to twist bits, meaning there is less need for heat resistance
Auger bits made from high speed steel are available, but they are less common.
For more information on high speed steel, see: What are drill bits made of?
Titanium carbide is used for the tips of some auger bits as it is hard enough to cut through nails.
For more information on titanium carbide, see: What are drill bits made of?
Auger bits are not usually supplied with any form of coating, as the tool steel they are made from is hard wearing enough for them to last a long time.