I am so glad you started this topic, Christine! Look how many of us have blue-gray eyes here!
As for me, my situation is a bit different because of my hair. It is a silvery color, almost 100% now, so the browns that are supposed to make my eyes sparkle just make me look tired. I can do a little in the crease, but that's about all. (I am about NW20, so cool shades are best.)
The only brown liner I ever use is Bobbi Brown Mahogany Ink -- it has a bit of gray added to the brown. Even at that, I don't reach for it very often.
What does work for me are shades of navy and gray or combinations of the two. I love my Bobbi Brown Denim Ink, MAC Powerpoints in Prussian and Grey Utility, Sephora Retractable Liner in Slate, and Colorescience liner pencil in Shades of Gray.
I have read all of the opinions that we should not match our liner to our eye color. Sorry, but

On to eyeshadow: My favorite pink is Laura Mercier Morning Dew. Peachy shades are Laura Mercier Sandstone and Paula Dorf Halo. For a creamy ivory base I like MAC Blanc Type or Stila Ecru. Any of these work for brow highlighters, too.
Brown mascara is a wash for me. I prefer soft black when I can find it.