I actually really like Sephora's own makeup brand. The price is reasonable too. They really stepped up their game when they revamped their eyeshadows. I have some and I really like them! They seem to be like a mix between Urban Decay shadows and MUFE shadows.
MUFE - Best foundations and eyeshadows. They don't really have blushes or good brushes and I hate their lipsticks (smell and bad packaging).
Too Faced - Bronzers, and lip and eye primer.
Urban Decay - eyeshadows and eye primer.
NARS - blushes, bronzer, eyeshadows, lipgloss, and brushes. (DEFINITELY brushes)
Illamasqua - pretty much everything. Good brand.
Hourglass cosmetics is also really good but they are EXPENSIVE. I think their face primer is the best and the brushes are divine. Sephora's Tarina Tarantino and Kat Von D subbrands are also pretty good. The TT shadows are similar in texture to NARS shadows. The Kat Von D liquid liner is the best pen liner I've tried at a decent price.