Don't use powder shadows, and make sure your mascara isn't dropping gunk into your eyes. Also, when blending, stay far enough away from the inner corner of your eyes so that you can't absently rub makeup into them if you happen to rub your eye during the day.

I think it's Revlon that does a nice set of four cream shadows in complementary colours. I've used those for years and had no problems until recently, and I'm sure this issue is a mascara one and not a shadow one. But powder shadows, bad.