Make-up is always a must for me when cosplaying. If the character doesn't have a "made-up" look, I just use foundation/concealer to even my skin tone, light brown eyeliner on the top lids of my eyes to define them a bit, and a "highlight" foundation a couple shades lighter than my skin tone on the bridge of my nose and cheekbones to make sure my face doesn't come out looking flat in photographs. Depending on the character, I might do some more contouring with highlights and shadow as well. This is considered basic make-up (for men as well) in both theater and film.
"No one has ever written or painted, sculpted, modeled, built, invented, except to get out of hell." -Antonin Artaud