I've tried MAC and Chanel but my favorite is Prestige's waterproof eyeliner. I bought it from CVS and paid about 5 dollars for it, and it doesn't even come off after washing my face unless I really go at it with eye makeup remover.
The longer lasting eyeliner ever is MAC's liquidlast liner. I don't recommend them though because they are TOO long lasting and it's nearly impossible to take them off. They can stay on my eyes for days even though I try hard to rub them off with my eye makeup remover.
Also I don't find them easy to apply.
The best are MAC's fluidlines, Bobbi Brown's gel eyeliners and Stila's smudge pots.
They come in a lot of beautiful colours and they last ALL DAY without smudging!!
Just the regular Lancome pencil works well for me. I used to think there was no difference between department store brand eyeliners and drugstore brand eyeliners until I tried the Lancome. I wont' go back!