Milani is a great brand, most of their shadows are highly pigmented, and they cost $3.50 each at CVS Pharmacy! I also love L'Oreal Color Fresco cream eyeshadows, they are about $6 or $7, but since there's a limited number of colors you can't spend too much money trying to buy every shade.
I have one quad of a L'Oreal powder shadow that's not bad, but I've had bad luck with Maybelline shadows since they seem to be poorly pigmented. Oh, and I've also heard that Jane Eye Zings are pretty good though I haven't tried them.
Let's see, for eyeliners I have Maybelline Great Wear in Dark Chocolate, and it lasts all day with a base. (I just use foundation and loose powder for a base -- if I skip the powder my eye makeup disappears in an hour, but with powder it lasts all day!) I also have Cover Girl Perfect Point in Charcoal. I also just bought Rimmel Exaggerate in Aubergine (a very pretty purple color for about $5), and Jordanna eyeliners in Sterling Blue and Creamy Cocoa (2 for $3 at Walgreens). I haven't tried them all out yet but I will soon. All of my eyeliners are the automatic pencil kind, where you don't have to sharpen them. If you don't mind the wooden pencils, you can find more that are even cheaper -- Wet and Wild has a huge collection of colors for 99 cents each! I noticed Rimmel had some for about $2 or $3, cheaper than the automatic one I bought!
For mascara, I've been using Maybelline Lash Expansion Waterproof Mascara. It lengthens more than it thickens so it doesn't get as clumpy as some mascaras, and it last all day and is only about $5. I've also heard good reviews of Maybelline's Full and Soft Mascara, and L'Oreal's Architect (a little more expensive at $7 or $8).
As far as coloring goes, I am blonde, with blue eyes, and very pale, cool skin (some foundations do not make a shade dark enough for me!) I usually stick to neutral eyeshadows like browns and champagnes, though I just bought some colored eyeliner to play around with and may break down and buy some colored eyeshadow soon.
I also like my Color Fresco in Snowflake, a shimmery white shadow, because it brings out my small, deep-set eyes. I've also always heard that to make your eyes pop, you should wear colors opposite your eye color on the color wheel -- so for blue eyes, that means browns, peaches, oranges, and pinks. I also like to stick to pale lipsticks like pale pink or nudes, since anything darker tends to look orange on me! (I love L'Oreal's Endless Liquid Lipcolor in Forever Blushing, a pale pink, for about $7 -- it has the full color of a lipstick but the soft, liquid texture of a gloss! Looks great with the white shadow too!)
Those are the only eye products I've tried so far, but I'm also a poor college student so about all I buy are drugstore products! I also have a small collection of makeup but am working on building it up, so you can always ask me about other drugstore makeup!