I've used a great variety of make-up in my time and I've read a lot about it. A good reference to see if the make-up is worth the money is Paula Begoun's Don't Go To The Cosmetics Counter Without Me. You don't need to buy a copy; just go down to your local Borders or B&N and look in the beauty section. Paula will tell you what you need to know.
For my experience, my best mascara experiences have been with L'Oreal and Maybelline. Lipstick: Revlon. Eyeshadow: Rimmel. Eyeliner: Prestige. Foundation: L'Oreal's True Match.
As for more expensive cosmetics, I will echo those who have recommended MAC and Clinique. MAC is great for eyeshadow in particular--both their powder shadows and cream shadows have great staying power. The cream shadows in the tubes have a silicone base and so stay put longer. Clinique makes great natural lip colors.
Another great resource for reference is Allure magazine. They are the ones who go through all the beauty stuff.
