Quality-wise, I'd probably have to go with MAC, but there was a post here a while back about Bobbi Brown, and how she herself, despite her own makeup being high-end, endorses a lot of low-end shadows because they're pretty decent quality.
A few of my personal favorites are Maybelline, Cover Girl, Jane, and Prestige (a lot like Urban Decay, Hard Candy, and MAC). The first two, I've got a few light washes of color (Bedazzled Biscotti and Meringue Blush from Cover Girl), and the latter 2 have awesome colors.
"When to scrimp, when to splurge," by Bobbi Brown.
Eye shadow There are some terrific drugstore brands that come in a wide range of colors and textures, from soft mattes to subtle shimmers. Eye makeup trends change all the time, so choosing inexpensive products is a great way to save.
My two favorites are MAC and Christian Dior. I'm wanting to try more drugstore brands now though since I keep hearing about how comparable they are to the high end ones. Just like Kage_sCupotea's reply explains. I tried Revlon's eye shadow couple of years ago and it irritated my eyes. Maybe their eye shadows are different now. Also a lady I used to work with was a makeup artist before and she said that all eye pencils are made in Germany regardless of whether you are buying low end or high end pencil so she recommended never buying a high end eye liner. I love my MAC Powerpoint liner though but I can see it being possible for the "regular" pencil eye liners.
2nd to Chanel! I don't know how I forgot about Chanel....I bought an eyeshadow quad years ago for my wedding and the colors were so pretty and long lasting. I haven't bought Chanel eye shadows in a long time but I remember the quad lasted me a very long time. I've also been wanting to try Shu Uemura's eye shadows since so many people rave about them. Tinydancer has mentioned Shu Uemura several times and I'm dying to try some of Shu shadows myself.
I really like Stila eyeshadow. About average price for a department store brand, and the pans are bigger (which is good because you get more product, bad because they don't fit in other palettes). But I like the color selection, and you can use them wet and dry.
I agree that MAC has a huge color selection. I like some of their shadows, but find some of them hard to blend (maybe they're getting old?).
Urban Decay also has great quality, but better for glitter and bright colors
I haven't tried that many drugstore brands, but Jane has good quality for the price. Not sure about the color selection though. Seems like they have discontinued several popular shades recently