Re: Smoky eye ~ Eyeshadows?
For cheaper drug store eyeshadows, go with the Loreal Hip line. It's very pigmented compared to most other drug store products, and priced reasonably.
Covergirl has come out with a new eyeshadow line that looks more pigmented, but I've yet to see it in action.
If you're willing to spend 15-20 dollars per eyeshadow, go for Urban Decay (at Sephora), or MAC eyeshadows. While I generally stay away from MAC in my professional use, some of their eyeshadows are still pretty good.
Like Humeira said, some of those cheap-o palettes from China are good. If you ebay an eyeshadow palette they'll all look similar, and have similar prices, and they aren't bad at all! I've used them before and I liked some of the quality. However, I can't say what the ingredients are, so I can't suggest you buy them (China is notorious for the quantity of lead in it's products).