I do the wet brush in eyeshadow thing. I don't like the texture of pencils and they never last on me, though I'm tempted to try some of the ones mentioned below.
If you want to try something a little different, especially on special occasions, I recommend Eye Kandy (http://www.eyekandycosmetics.com/product_usage.html) (clicky-link). Made by a dancer for dancers, that stuff stays on through sweat, MCR shows, etc... it'll last all day no problem. But it comes off easily with eye makeup remover. Enables some very fun looks and comes in a ton of colors. I don't have any pics of me wearing any up on flickr, but if I remember I will upload tonight.
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If you want to try something a little different, especially on special occasions, I recommend Eye Kandy (http://www.eyekandycosmetics.com/product_usage.html) (clicky-link). Made by a dancer for dancers, that stuff stays on through sweat, MCR shows, etc... it'll last all day no problem. But it comes off easily with eye makeup remover. Enables some very fun looks and comes in a ton of colors. I don't have any pics of me wearing any up on flickr, but if I remember I will upload tonight.