1. Revlon ColorStay Eyeliner - For an all-purpose eyeliner in the budget category, Revlon is hands down the best I've tried. This lines smoothly and stays put. I just use black and it works perfectly every time. Best of all, it's widely available so I know it's one I can buy easily if I was on a trip and forgot my eyeliner (although this will likely never happen).
2. Chanel Stylo Yeux Waterproof Long Lasting Eyeliner - This is the luxury counterpart of the Revlon ColorStay Eyeliner that I talked about previously. Application is a cinch and I've found it to be long-wearing even in warmer weather. They have the basic colors covered and occasionally come out with limited edition shades. The latest, Rose Platine, is quite an interesting medley of colors disguised as a taupey platinum shade. (Review here.)
3. Urban Decay 24/7 Glide On Eye Pencil - If you want something in an in between price range, I highly recommend these eyeliners for their smooth and easy application and the charming array of colors. They take about half a minute to set (within which you can smudge if you choose to) and once they do, they last the entire day. They are quite creamy when you put them on and the color is imminently present. Underground is my favorite shade.
4. Laura Mercier Kohl Eye Pencil - I started to appreciate these kohl pencils when an artist taught me to smudge and layer. These are uber-creamy and are great for a smoky eye as well. The "black"ened colors are the most interesting (black violet, black turquoise, black gold, black navy) for a hint of color and the definition of black eyeliner. Black Gold is the one pencil I've used down to a nub.
5. Make Up For Ever Aqua Eyes - This is an interesting bunch of eyeliners that have as wide an array of shades as Urban Decay's 24/7 Glide On Pencil but also a variety of finishes. Texture-wise, I find that at the onset, these are as creamy as kohl liners but when they set, they stay put. I've only ever used the Mat Black shade (I have two of them, I don't know why) but I'd been looking to try a few others. I actually went to Sephora one time and swatched a few shades on my arm. My sleeve covered up the entire thing while I walked around the store and went about my day. I completely forgot about them! When I got home, I noticed them while I was washing my hands and decided to take a picture. They really did stay put!