Enter: Urban Decay Primer Potion
This little tube has possibly tripled my eyeshadow's wear time in a given day. I consider it to be foundation for my eyes - I apply it to the lids from lashes to brow before applying any shadow and allow it to dry. My powder shadows go on perfectly and blend evenly. It's absolutely worth the cost and has lasted me at least 9-12 months so far.
A little tip from my gals at Sephora: take a tweezers and yank out the "rim" of the purple tube after you think you've used it all -- just like a tube of mascara or lip gloss, that rim helps to clean the excess off the wand when removed from the tube. Thus, a lot of product is kept inside if you don't yank that thing out!