i have gone through stages where i have used every type of liner.
for the longest time, my favorite was using a black eyeshadow (Night Breed by Nars) and applying it with an eyeshadow brush. it doesnt look perfect and its smudgy which i liked. then i used a liquid eyeliner pencil for awhile but it was too hard to apply. I've never really liked eyeliner pencils, but have tried those and have had the same problems as you. right now, my favorite is mac fluidline. its amazing. i use brush #266 (also by mac) its sooo easy to apply and lasts all day! def. my favorite.