I have a large fireplace plan in 2 mm stainless steel sheet that needs to be fastened with a rounded countersunk screw. What is the best way to make a countersink in the sheet so that all the holes are exactly the same depth?
Agree with fn76, use a sharp countersink and drill slowly, then measure the outer diameter of the hole with calipers and compare all the holes so they are the same. The slightest increase in pressure during drilling will make that hole larger in outer diameter. Good luck. 
Thanks for the tips. Unfortunately, I don't have a drill press but I've been considering getting a drill stand. Wolfcraft seems to have good ratings: http://www.conrad.se/BORRSTATIV.htm?websale8=conrad-swe&pi=824019
Make sure there is plenty of space around the stand or column drill, and it's preferable to have 2 people to help if it's a large slab. It is difficult to hold and drill by yourself if it is large, as we are usually only equipped with 2 hands.