Fasteners are drilled in various ways for many purposes. The most common way is to drill a hole or holes through the flats of a hex head screw which allows two or more screws to be "Safety Wired" together to prevent loosening. The wire is twisted and connected in such a way that in order for a screw to loosen, the other would tighten.
Drilling a screw all the way through lengthwise makes it a vented screw. Its purpose is to maintain atmospheric pressure constant within a device while keeping contaminants out. Venting is applied to plugs as well as screws.
The hardest part of safety wiring is drilling the holes, especially if the fastener is hardened. This is where we come in. National Cap & Set Screw Company has machines and tooling to drill most types of fasteners. We work from prints, sketches, or samples. Just tell us what you need and we'll do the rest.