What happens if I use the counterclockwise setting on my power drill to drill a hole?
Conventional drill bits are designed to cut in only one direction, unless otherwise noted. I think one has to make special effort to find a left-cutting bit, although some screw extractors with an integrated cutter will be left-cutting.

Because a drill bit cuts, one wants the cutting edge to engage the work as it rotates. If used in the reverse direction, the cutting edge will drag and become dull in short order.

Along with the dulling, great heat will be generated from the friction. I have read on this forum of people who have used reverse direction on a conventional drill bit to effectively melt through plastic. Drilling plastic requires special bits or special technique to prevent cracking the plastic.