I've got fair skin, too and I wear pretty much everything. It really depends on what "look" you're going for...day v. night, work v. weekend. For work looks, I tend to stick with neutrals, like satin taupe, brun, woodwinked, vanilla, orb, and sometimes I'll add a hint of color, like a pale green or lavender. I also really love Mauvement, Naked, and Vanilla pigments. The darker colors work great as liners/crease colors and the lighter ones as lid/highlights.
For night and weekend, anything goes, I say!! I really like jewel tones on pale skin, so Parrot (it's still online, but it's got the Triangle of Death, so get it soon), Humid, Satellite Dreams, and Cranberry...or any color inbetween.
Other than for work (which may need to be more professional/conservative) I don't think there are any rules. My favorite thing to do is to head over to MAC and "play" with the colors...I often find something that I like that I never would have given a second look at.