I have always used a shadow primer from Urban Decay (you probably have never heard of it, so I won't mention the name), but recently a client turned me on to Too Faced Shadow Insurance. For those who are not familiar with Too Faced, they were the ones to create the first lip plumping product to hit mass market, Lip Injection. This makes them genius in my book.
The first thing that I noticed about this product was that it is a good size (0.35oz) for $18. I am also a fan of the fact that you apply it with your fingers which allows you to pat it in really well were it is needed (as apposed to a lip gloss type applicator whose name remains unmentioned).
A little bit of this goes a very long way. Above is the amount that I use on both eyes - think about the size of the head on a Q-Tip. I used that tiny bit of product to create a large square on my hand to place shadow on.
On the left is Too Faced Shadow Duo in Erotica with no primer and on the right is the same shadow with the primer. I applied the shadow around noon and took pictures about 3 hours later. I think that it is obvious that the shadow over the primer is more prominent and the color is much closer to what it looks like in the shadow container. It also feathered much very little in comparison to the non-primer shadow, even through me *doing dishes.
This is the shadow squares in outdoor light with no editing, which I think makes it even clearer how well Shadow Insurance works. If you care about your shadows you will purchase this for them. They will thank you by looking bold and staying in place.