Usually the Romex is protected by a nailing plate.
There is an expensive device called DrillStop or something that cuts the power to the tool.
Use a hand drill to drill the hole, in any case. It gives you better feedback as to what you're hitting.
If you do hit a cable, the drilled hole acts like a barrel so that the sparks are thrown out horizontally.
Looks really cool. . .
If you're using a grounded tool you won't get a shock but it may trip a breaker. If not, stand on an insulator like wood or carpet or have rubber shoes on.