For theatre/stage I use Ben Nye, but basically you need to go with "pancake" style makeup, where everything looks draggish and bright (especially for stuff like musicals, etc.). Of course, the colors will depend on the type of productions, but I would recommend using cream foundation, applied with a dry sponge. (Try to get this as close to your natural skin color as possible, and don't forget to blend!) Then, to combat the inevitable shine, take a big huge powder brush, dip it into transluscent powder, and dust it quite liberally all over your face, and blend it into the cream foundation. That should last at least 4 hours, and if you have breaks in between scenes, you can always dust more powder on to keep the shine away.
(Most theatres won't have this makeup available, but if you have it at home, Blot powder, and the cream mattifier from MAC also work really great. Be careful though, in case someone steals it.)