Zeph,
We use alot of Electreat 50 from The Steel Supply Company. We use it for guide rods and piston plungers. We just machine the ends, (threads or keyways), and go.
http://www.steelsupply.com/
They don't show this grade on the web site but you can call and request a buyers guide.
Electreat 50 is 50-60c rockwell and you can machine it fairly easily.
You probably would use a carbide drill, but you can get away with cobalt. If you slow things down.
It has a hard case, 115,000 KSI tensile, 100,000 PSI minimum yield, precision ground or chrome plated.
They also have #2 piston material, ground and chromed.