Budget friendly products I currently love:
Maybelline Dream Fresh BB Cream
Maybelline Master Drama 24hr eye pencil
Revlon Lip Butter
Wet n Wild Walking on Eggshells eyeshadow trio
Maybelline the Falsies mascara
NYC Bronzer in Sunny
Maybelline Dream Lumi Concealer
Maybelline Color Tattoo Cream Eyeshadow (alone or as a base primer)
Maybelline Baby Lips tinted and clear lip balm
Most of my blush are high end and I think that's worth the splurge, but for a budget recommendation, I'd say NYX blush? The colors and pigmentation are excellent and beautiful.
NYX also has a lot of MAC dupes in lipsticks and eyeshadows.
NYC also makes some nicely pigmented eyeshadows.
For a highlight, I've sampled the liquid one by Boots and they look a lot like the ones from Benefit.
Personally, I use both drugstore and high ends, and when I love a product, I love it, no matter how much I paid. I really enjoy my drugstore products just as much as expensive ones (or more, knowing they were a bargain). I do my research before buying and am pretty picky about things, so as long as it looks good, lasts, and works well, then I will use it.
My other suggestion is to splurge on good, decent makeup brushes. If that's tough, Sonia Kashuk and art stores for paint brushes are always an option (I've seen MAC dupe art brushes listed on some sites), and Sigma are not too pricey, too.
And I'd also recommend splurging for NARS eyeshadow primer because it keeps any shadow in place all day which means less product used in the long run and no need to reapply. Bobbi Brown long lasting eye pencils are also well worth it because they do not budge, either. Products you need to keep reapplying are not worth the value because you'll probably spend just as much repurchasing them than just using something that lasts.
And finally, I do not use this, but many women do as a makeup primer, but Monistat Chafing Gel is great for a face makeup primer and comparable to high end primers (lol). Sounds weird, but true. You could even get the generic version but make sure it's a chafing gel and not some kind of itch cream, lol.