Chucks are on TIGHT.  With the set screw OUT, tighten the largest allen key you can fit in the chuck, and strike the opposite end with a hammer (strike for CLOCKWISE rotation - chuck is tightened opposite hand)  The drill should be secured and you should take care that the allen is in tight so as not send it flying.  It may take a few whacks but it will free up.
                 JMoon
                
 October 2008