Many of the newer small electrical appliances and tools do not have a the third grounding prong on the plug. Typical examples are blenders, coffee makers, blow dryers, drills, and other power tools. Appliances and tools of this type are called "double insulated". They have two levels of insulating materials between the electrical parts of the appliance and any parts on the outside that you touch.
The primary difference between a drill with a 3 prong plug and a drill with a 2 prong plug is the drill case material. If the drill case material is conductive, in other words, is made of some kind of iron or ferrous material, then the drill must have a grounding conductor and 3 prong plug.
Double insulation construction of appliances and tools allows the manufacturer to produce a lower-cost product. Double insulated appliances and tools are generally found around the home while their grounded counterparts are more likely to be found in commercial and industrial operations where they encounter much rougher treatment and more potential for damage.