MAC, Urban Decay, Stila, Ulta, Sugar, Smashbox, Victoria's Secret, Sephora, etc. They're all in the more expensive category, with the exception of Ulta, which is kind of in the middle, but one of my favourites. If you're looking for "drugstore" brands, try Rimmel, NYX, and Maybelline.
What kind of look are you going for? Do you want something wild, very subdued, eyeshadow colours that supposedly match your complexion best?
I have really pale skin, brown eyes, and brown & pink hair. I like to wear either really dark eye makeup, or really bright and wild. I like to go crazy with my eye makeup because that's really the only makeup that I wear.