Why does a driver bit shank have an indentation?
Impact (or hammer depending on your region) drivers have a locking mechanism which holds the bit in place:

Usually the drill bit will just snap right in. To remove it you need to pull the collar forward and the bit will pop out.
Typically you would buy impact-grade bits such this one which are designed to twist at a specially designed weak point so that the phillips end does not fail and break.


A hammer drill is typically used to drill holes in concrete as it exerts a hammering action to break up the material which it drills into.
You can get a dedicated hammer drill or lots of standard drills have a hammer option (not as effective as a dedicated hammer drill but good enough for small-ish holes).
An impact driver does not exert a hammering action. This can be confusing depending on the terminology in your region.

Not to be confused with an impact wrench which natively accepts sockets for automotive work.

Milwaukee also produces a 6 inch locking bit extension which will hold the bit in place using the same principle as the impact driver's collar:

So you could attach this to a regular drill and always have the convenience of a locking collar for quick bit changes.