Primer or Powder
Starting with a makeup primer is a great trick for getting lasting makeup (and smooth skin). Primer helps prevent creases in eye shadow, helps fill in lines and pores, and keep foundation on longer. It's available in several brands ranging from drug store to designer. You can also accomplish a similar result and lasting effect by using powder before applying foundation.
Makeup sealing sprays admittedly aren't generally cheap (I don't know of a drug store line that offers one) but they are effective and since setting your makeup only requires a few spritzes, they do last pretty long. One great, decently priced, example I've used before is Urban Decay's Up All Night, available at stores like Ulta and Sephora. I've used this spray to keep makeup intact for friends' weddings, job fairs without air conditioning, and even fell asleep a few times to find it still looked ok in the morning (you can't beat that!).
One of the best ways to keep makeup on is to invest in a brand that's made to last. Many brands, including Revlon, Bare Minerals, Clinique, and more offer lines of everything from foundation to eyeshadow to lip color designed to last from 12 to 24 hours. These brands are designed to having staying power and should do a better job surviving your busy work day than your average makeup.