My favorite eyeshadow brands are Urban Decay, Lorac, Smashbox, and Too Faced
Urban Decay has many sparkley, bright colored shadows, so I wouldn't recommend them for cosplay usually, the shadows sometimes tend to get caught in the crease of your eye, so a shadow primer is usually needed (urband decay happens to have their own shadow primer that works well though)
Lorac has many matte colors, as well as some shimmery ones. They're very nice quality and require minimal reapplication
Smashbox has some great 4 or 5 color palettes, which are great for giving more depth to the eye with multiple colors. Its also more cost effective.
Too Faced has duo shadows with two colors that compliment each other. They have some bright colors, and some more natural shades. I highly recommend them =)
Conventions 2009: Katsucon, Tekkoshocon, Costume Con, Anime Mid-Atlantic, Otakon, Dragon*Con, Anime USA