I use the eyeline from MAC. It's not the pencil, it's the kind with the little brush and the eyeliner is in the "eyeshadow looking thing" LOL.. Sorry, that's the only way I can describe it. If you go to the counter and tell them you want the eyeliner that ISN'T a pencil they will know what you are talking about. (That's what I did) It works great and doesn't smudge at all. It is a little pricey, but it lasts forever.
Styli-Style Line and Seal...I have worn this through hot humid summers and even at water parks and it never budged. And they are only like $5. If you wanna spend more, Urban Decay 24/7 is good too although I find it tends to smear a bit on me.
If you are looking for a black eyeliner, I have been using the following liner and absolutely love it, because it does not budge, stays all day and looks fabulous all day. It is Maybelline, waterproof liquid liner. The applicator is a little sponge tip so you will get a nice smooth line and dries fast. It is easy to use and is under $6.00. I have used the expensive liners, and this product has been the best I've ever used. You can get it at Wal-Mart, Walgreens, most grocery stores. It is not a pencil, and it lasts forever. The applicator has a pointy tip and works great for applying liner inbetween your lashes for a professional and natural look.
When you apply the liquid liner you want to apply it on your lid as closely as possible to the lash line. If you prefer to apply your shadow first that works fine as you have pretty good control with the Maybelline water proof liner I had recommended, and shouldn't have too much clean up or corrections if any at all. You can also apply the liner first if you want to. As always, if you do need to clean up the line a little, a Q-Tip works wonders.
I also take the tip of the applicator and dot in the liner inbetween the actual lashes at the lash line right next to the lid, this will give you such a stunning effect and will really enhance the appearance of the thickness of the lashes. I do this to the upper lash line and lower lash line. If you wish to soften the line of the lid after application, blend in your eyeshadow into the line, smudge it slightly for a very natural look. This will take away any harsh look of a painted on liquid eye liner. It will look subtle and still give your eyes that extra pop and definition where they really stand out. Let me know if you have any more questions, I used to work in the industry for Estee Lauder so I have lots of little tricks, and I love cosmetics. Good Luck!
I've found that every waterproof pencil eyeliner I've tried (Well, actually just Maybelline and Prestige.. haha) have stayed put all day. Sometimes it was even hard to get it all off with eye makeup remover. You might try one of those.
The waterproof liquid from Maybelline is good. I used to use that one too, but I find I have better control with a pencil. For extra staying power, you can use a pencil eyeliner and go over it with a regular/waterproof liquid eyeliner.
I have to advise against Maybelline (at least the liquid ones). I personally don't like it much at all. I bought the "waterproof" Ultra Liner a long time ago and it was so awful I thought I was using it wrong or something because everything about it was just horrible.
First off it was supposed to be black, but it was actually like a dark gray after it dried. That wasn't really a huge deal at first since I figured I could just go over it with a black pencil liner or black eyeshadow. Well, I tried that and it didn't work at all... As soon as the stuff dries it gets crusty and starts to peel off, so if you try to apply something over it, like with a pencil or a brush, it basically all just comes off.
Applying it is very difficult and messy since the applicator is a small brush that is not very sturdy... so if you don't have a lot of makeup experience don't bother even trying to use it. Oh, and if you get it in your eyes it burns really, really bad (and that happened to me like 100 times).
I did, however, try the Maybelline LineWorks with the spongy applicator and that one worked better but I never bought it since I prefer pencils anyway. My sister also bought the UltraLiner once and hated it, so she gave it to me. Now I have 2 bottles of it that I'll most likely end up throwing away as soon as I get to cleaning my makeup bag, haha.
The Maybelline Line Stylist, on the other hand, is magic. I LOVE that stuff. It's a thin plastic pen that twists out... the liner is super thin so you can control how much you want to put on, and it stays on well all day. I definitely recommend that one. Skip the liquids.
I agree with MoonLight, don't bother with liquid. I actually saw on Rachel Ray that if you dip the tip of a thin flat makeup brush in water and then in black eyeshadow and line your eye that it doesn't smudge at all. I've never tried it though.