My absolute favorite is fyrinnae.com
. Its mineral makeup, and they have hundreds of colors from super bright to metallic to naturals. I use it with a wet brush to get the most potent color from it, and it stays all day nicely. The quality is amazing for the price (and you can order small samples of anything you want for about $1 each). They are really blendable and smooth.
As far as things you can buy from a store, I use Makeup Forever (at Sephora), Laremin (at Whole Foods), Urban Decay, and MAC. I prefer loose powder for versatility.
Either use a wet brush to apply, or apply dry over a creme liner or eyeshadow base.