you really need to use a good base under your makeup, especially under your eyeshadow. i use urban decay primer potion, which helps prolong the wear of shadows and pigments, and then a shadestick which enhances the colors that i'm using.
smooth a thin layer of the primer potion onto your finger, then smooth onto your lid. let it dry for a few minutes. a little primer potion goes a long way, and you shouldn't be able to see the layer of it. next, take a shadestick, blast it with a hair dryer for 5 seconds or so, and again, smooth it onto your finger, then onto your lid. i use overcast, a shimmery white, because it makes every color pop. if you want though, you can use shadesticks in colors that coordinate with whatever shadow your using. applying to your finger first gives you more control over placement on your lid, and also cuts down on the "tugging" so many people complain about when using shadesticks. make sure your using high quality brushes, or sponge-tip applicators, to apply your shadow or piments.
for face and lips, again, primer is the way to go, foundation and blushes look best over a prep and prime face, which enhances and prolongs the wear. prep and prime lip is GODSEND, which really makes lip products look better and last longer. also, fill in your lips with a lip pencil, then go over them with the color of your choice. lip pencil lasts longer than most glosses and sticks.
and last but not least, choose pigmented products. go for bright colors. layer it on. test products before you buy them. it takes time, but eventually you'll learn what works for you, and how you can make colors last longer. practice makes perfect.