A very effective, thrifty option is to powder you eyelids with face powder, loose preferably. Corn Silk loose powder is especially good. If thrift does not concern you then you should go and buy Urban Decays eyeshadow base - my god, NOTHING with shift or crease with this baby!

Clarins and Barbara Daly both do a good eye base so it depends on your budget. Ive used both with great success