honestly, i've tried a bunch of oil-blotting sheets (shiseido, clean & clear, etc.), and the best ones are Starbucks napkins. seriously, no joke. i know it sounds weird, but grab some next time you're there and try it -- you'll see all the oil you absorb on the napkins. it's free, effective, and easily accessible. (btw, i also saw this as a tip in Glamour a couple of years ago.)
Shu Uemura. Ever since Estee Lauder discontinued their blotting papers, I've used Shu. I've tried less expensive brands, and they just don't work as well for me.
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"Good taste shouldn't have to cost anything extra." - Mickey Drexler
if you are ever out and dont have sheets on you, you can use toilet liners (ya know those toilet shaped tissue rings). They absorb oil without doing anything to your makeup, plus you can find them everywhere. Girls used to give me weird looks whenever I did it in college but at least I wasn't greasy!