I have dryer skin (in winter) and I use MUFE HD setting powder. You can't see individual granuals, so it goes over the skin well and doesn't draw attention to any dry spots, if you have them. I use it over my foundation (NARS) and loose powder (Merle Norman Pure Mineral Makeup).
I have really been loving L'Oreal Translucide loose powder. It's pretty moisturizing and find it great for winter. It really is translucent, never goes on cakey and sets my makeup really well. There's usually always a sale on drugstore cosmetics so I'm sure you could find a good deal on it, too.