I have two favorite eyebrow powders, and oddly enough they come from different ends of the price spectrum. My all-time favorite is Anastasia's brow duo powder ($22). It comes in lots of shades, so I'm sure you can find a shade to suit you. I use brunette.
Running a close second is Wet n Wild's brow kit ($3). I only use the darker shade, so I don't know if the light shade is any good. The dark shade is great though - it lasts all day and doesn't have red undertones. Of course, it's only suitable if you have very dark hair and eyebrows.
Oh, and I like NYX's eyebrow wax in pencil form. It's nice because you won't get wax on your brushes.