I've been into makeup since before I was allowed to wear it out of the house, and have had a larger collection than normal (though not obscene by Internet Makeup People standards) for a long time. I swore by Neutrogena, Physician's Formula, Almay, Burt's Bees, Maybelline Great Lash, and New York Color 99 cent lipstick for years before developing some serious problems with skin allergies and sensitivities. Namely, beeswax gives me blisters and burny eyes. Yuck! Not pretty at all.
When I started to rebuild my collection a year and a half ago, I decided that I was only going to use things with short ingredients lists, in an effort to identify problematic ingredients easily. I also decided that I'd go the natural route as much as possible, because it bothered me that cosmetics ingredients don't undergo a lot of testing in the US.
I've tried Everyday Minerals, Fyrinnae and ELF, and recently have started getting into Meow and Silk Naturals. I also depend on Gabriel Color for some things. I have a very small collection of drugstore makeup on top of the online only stuff, but everything I buy has to meet certain criteria (to be elaborated on further).
Also, I don't have a lot of money, so for me, an eyeshadow over $7 is a splurge. I really think twice about anything over $10, and won't spend more than $20 on anything except mascara, sunblock, or foundation (and only if it's huge). So you won't see any MAC here.
But I also have to use the product for it to be worth any amount of money, so even something cheap that doesn't work pisses me off. If "cheap" means "mostly filler," it's not worth it.