The She Space, MAD, Lumiere, and Silk Naturals - they're all mineral makeup companies, but pigment is pigment, there are nice selections at all of them, the prices and shipping cost/time are good (and the samples from MAD and Lumiere are very generous), and they last all day.
There are other good mineral companies out there, too, but I could go too crazy with eye shadows, so I do try (not too successfully) to limit myself.
Also check out Aromaleigh.com - grea Rocks! shadows if you are into bright, saturated color, with or without sparkle, and the Elemental Lusters for smooth metallic finishes.