Eyeshadow primer sounds like a completely bullshit thing designed to just make you buy more stuff and maybe that's partly true, but it turns out that using primer makes even cheap-ass eyeshadow wear better and stay blended and vivid all day. It is especially key if you are a greasy human, such that even your eyelids are oily (this is how I roll). You may have noticed that eyelid oil makes shadow collect in your crease and look bad. Primer solves this problem.
I've been using an inexpensive one by NYX, which is incidentally my favorite cheap makeup brand, available primarily at Ulta (and NYX is 40% off right now, so seriously, just get some). But if you don't have an Ulta around/don't want to buy makeup online and you want to be even less committal, e.l.f. makes one too and you can get it for like a dollar at Target. Does it work? Buy one and tell me.