Question: I was installing shelving in my closets, when drilled a hole into studs, the lights flickered momentarily for 2 seconds. 

I stopped drilling, and everything else seems fine now. The circuit didn't break and the lights are no longer flickering.

There doesn't seem to be any sockets around the switch. 

Should I call an electrician or is there anything I should test?

Answer: 
If you don't want to start taking walls down (it can be a very time consuming job, especially the clean-up afterwards) to have a look, I would suggest calling an electrician in and asking them to run an insulation safety check. They have a device that they can just plug into your wiring that remote checks the insulation on the cables is up to standards (in the UK we tend to call them a Megger tester, after the most common brand name, but I'm not sure what they'd be called in the US). This should be able to tell you if you've broken through the insulation to an extent that is dangerous. Hopefully, you'll be able to find an electrician that won't charge too much for this, or maybe even free -- it's at most a half hour job, and as it may well lead to rewiring work later down the line they'll probably want to get in before the competition.
You can obtain a [wire tracer like this one](https://www.youtube.com/watch?v=mJGqh-XJVpk). It might cost about as much as the time to knock a hole and repair it, but it should be quicker.