Sigma is good but they are mass produced so chances are the unlabeled ones you see on ebay are by the same manufacturer. For brushes that are even cheaper than Sigma but superior in quality I would go for Real Techniques.
But if you want to save money you could just get the Sigma 12-brush kits which will cover everything you possibly would need.
is it better to put foundation on with a foundation brush or concealer with a concealer brush or with your fingers for both? What would give a natural, non-caked on look? I don't understand the advantage that a brush provides.
Sephora Makeup brushes are amazing. The handles are dipped 9 times in lacquer, chrome ferrules meaning they will never yellow or anything. the tops are glued and tied so impossible to come off. They are very sturdy. I would suggest going for the good makeup brushes because they will last you up too a good 15 years if you take care of them properly. Than if you the inexpensive ones which will not have the same performance and won't last you as long. Hope this helped :)