I ahve oily skin too. I use Revlon Colorstay foundation. It's great for oily skin. The new kind (w/ the flex stuff) is not as good as the old formula, though.
A trick I read in the Don't Go to the Makeup Counter ... book for oily skin: before you put on your makeup, apply a very thin coating of Milk of Magnesia over your oiliest parts (forehead, nose, chin, cheeks). It absorbs the oil before it comes through your foundation. W/ the Colorstay foundation, I find I only need to do this during the hottest part of the summer, not year-round. The M of M also makes a good cleansing mask for oily skin.