Like many have said before, 35 - 40 mil is good. Another CAD program I use called PCAD-2001 (which came out in 2001, obviously ) defaults to pads which are 60/38 (60 mils for the pad, 38 mils for the drill) which works great for many ICs, resistors, transistors, etc.
(For those using mm, 1 mil = 0.0254 mm.)
Looking at this from the manufacturing side, the drill size you call out is taken to mean the final size you want after plating (assuming it is plated) and is usually assumed to have a +/- 3 mil tolerance. The PCB shop will drill the hole in the PCB slightly bigger than the specified number, but when the plating is added, the diameter shrinks down to your target size. The tolerance also gives the PCB shop a chance to use a common drill bit size if you have two holes with almost the same diameter or if you call out a weird hole size that they don't have the exact drill bit for.
Now, you can specify the tolerance you would like them to use if +/- .003 is not acceptable. For instance, if for some reason you have a hole that you absolutely don't want any bigger, but don't mind if it gets smaller (like a certain type of via perhaps?) you can specify in the drill table that this drill has a tolerance of +0/-.006 or something. This is not typical, so you likely won't have to worry about specifying anything, but you could. If you don't specify anything, the PCB shop will assume they you don't mind whatever default tolerances they use (which they should advertise), and is usually fine for most projects because PCB shops generally know what they are doing.
I hope this helps you understand the humble pcb through hole and what flexibility you have as a designer