you are right about MAC's eyeshadow. i swatch them on my hand and they just never look pretty enough.
the only one i ever liked is the cranberry one but i own a very similar color in urban decay.
It's probably the pigmentation and/or texture; MAC e/s are hard to beat in terms of sheer selection, but many people find that the pigmentation is not up to snuff and thus more product has to be used, creating problems w/ the texture as well. You probably like the UD e/s because of their pigment saturation: less product is needed and the product can be applied more sheerly/lightly.
Alternatively, you can purchase low-end or drugstore brands as (here in the US, at least) many d/s brands are really catching up with their high-end counterparts in terms of quality (if not selection).
i am not a makeup snob or anything, i do own drug store makeup. but honestly ever since i touched urban decay's eye makeup, i can't go back to drug store. even MAC doesn't match up to Urban decay's eye stuff.
i always LOVED eyemakeup and that was the first thing i started using once i was allowed to do makeup, but i am quite dark skinned and the drug store eye stuff NEVER showed up on my eyes as it did on lighter skin ppl. i bought something pink and it looked white on me cuz of my skin tone. that never happened to me with urban decay. even a single wash of color got me so many compliment which i never got even after a hard core application of drug store e/s.
that is just my personal opinion though. my mom uses drug store makeup (she is very very fair though) and think i am crazy to be spend my money on high end makeup.