Try tube-y mascara. You're asking the right girl here. Every possible kind of mascara smudges on me, no matter how waterproof it is (there are some exceptions of course, but they're a bitch to remove!)
I've recently tried Clinique Lash Power mascara. It's water resistant and smudge-proof, only comes off with warm water and a bit of pressure. Fiber-wig mascara has the same sort of idea, but I don't like it as much. There's also the new L'Oreal Double Extend Beauty Tubes mascara that also utilises the same concept.