I've tried what Stickboy has pictured above, they are sharp for metal but I found them lacking for cement shingles. (Edit: In my test, the grains of the 'teeth' of those filled up with cement dust halfway through the hole, I was using a 4" at the time.)
I used carbide-tipped hole saws, from Lennox. One key is to drive your phillips-tipped screwdriver through first as a pilot, so the pilot bit doesn't just sit there and spin and burn up, while your waiting for the action to start.
I set my Hole-Hawg on high speed, medium pressure behind it, and my carbide-tipped holesaws lasted pretty good. Stop after the siding, get the siding out of the holesaw, then continue through the OSB.