On a drill, the device that attaches the bit to the shaft is called the chuck.
It is important to the safety of the user that the bit does not detach from the shaft, nor rotate inside the chuck, but it is also useful that the bit be easy to change. The chuck, therefore, must grip the bit tightly, but still be easy to undo.
The conventional solution is the keyed chuck. The chuck is first tightened by hand, then tightened further by using a chuck key. The chuck key has a shaft that fits into holes in the chuck, and a gear that engages with teeth in the chuck's collar. This provides extra leverage to tighten the chuck tighter than can be done by hand, and (usually) tight enough to prevent the drill bit from slipping. Keyed chucks grip the bit very well, but are time consuming to fasten and unfasten. The chief disadvantage of the keyed chuck, however, is that if the chuck key is not put back in the same place every time it is used, the Chuck Key Fairy makes off with it, and hides it down the back of the fridge.
A keyless chuck, on the other hand, is simply tightened by hand. The bit can be used without needing to lever the chuck shut. How is this possible? The keyless chuck is designed so that a clockwise torque on the jaws of the chuck causes it to tighten further, meaning that the act of drilling itself causes the chuck to tighten. The chuck can be opened and closed even faster by holding the collar still, and using the drill to rotate the chuck. This is, however, not a smart thing to do, and the collar will instantly stop moving when the chuck is fully open or closed. Keyless chucks generally have smooth collars to reduce the risk of injury should this happen.
The keyless chuck holds the bit as tightly as a keyed chuck, except in one situation: If the shaft is rotating anticlockwise, friction on the bit will cause it to loosen instead of tightening, and the bit may even fall out. There are very few situations where you'd excert a high torque in the wrong direction with a hand drill, but if you do, a keyless chuck is not for you.
There also exist reversible keyless chucks, which don't tighten when the teeth are twisted, instead using a system of gears allowing them to be hand-tightened to a much higher pressure. These chucks hold marginally worse than keyed or conventional keyless chucks, but they don't come undone when used in reverse. This is the chuck you're most likely to see on a cordless drill.
There are two main styles of keyless chuck: with or without a collar at the back that moves with the shaft. The former is tightened by holding the shaft still using the rear collar, and closing the chuck with the front collar. The latter is tightened by holding a 'shaft lock' button on the body of the drill, and turning the collar to tighten the chuck.
The single-colar style of keyless chuck is only suitable for drills with a shaft lock - without one, the chuck cannot be tightened properly by hand. It is Not A Good Idea to fit such a chuck to a drill that has no way of locking the shaft, as the only way such a drill can be tightened is the manly way, using the drill to provide torque while holding the collar still. If the drill cannot reverse, it may be very difficult to remove the bit again. Applying a sudden sharp torque to the collar (using a mallet and a spanner or strap clamp) may dislodge it, or it may be possible to lock the shaft by inserting something into the drill's cooling fan.
Far better to check that the chuck is compatible with your drill before you buy it.
To fit an aftermarket keyless chuck to your drill:
Remove your old chuck:
- Undo the screw holding the chuck to the shaft. Unlike almost any other screw in the world, this screw unscrews clockwise. If it didn't, the chuck would eventually unscrew itself. Non-reversing drills may not have this screw.
- For keyed chucks insert the chuck key, for keyless chucks, insert the short end of an allen key in the chuck and tighten.
- Hit the key with a mallet to drive the chuck anti-clockwise (with the bit facing towards you).
- The chuck should now unscrew from the shaft.
Screw on the new chuck, and fasten it with the screw you removed. This method works only for screw-on chucks, which are found in the vast majority of consumer drills. If your drill does not have a screw-on chuck, and you don't already know how to change it, you paid far too much for your drill :)