Skin priming before you apply foundation is like preparing a canvas for painting. It increases longevity of foundation, it smoothens the skin and provides a flawless finish. You can wear it on its own or under foundation. If you have oily skin, you should choose a primer that is going to help your skin stay shinefree. To that effect, I personally apply just a primer in the morning (after cleansing my skin) and no other moisturizer. While it works for me, you might want to moisturize your skin first, let it settle into your face and only then use a primer.
L'Oreal Magic Perfecting base. It is a bit costly, cca 15 Eur per 15ml, but in my opinion, it does the job the best. The consistency is frequently described as a mashed potatoes paste and I would agree with that. It is smell free, it settles really well into the pores and leaves your skin silky smooth. While it will not prevent your skin from shining completely during the whole day, I still rate it the highest out of anything I ever tried.
My second most favourite skin primer is Gosh Velvet Touch Foundation Primer. I bought it in Slovakia for around 20 EUR, 30 ml. This is an apricot primer with Matrixyl 3000 - a face firming peptide. It is perfume and preservative free. The texture is really light and it gets soaked into the skin quickly and you only need a tiny amount. It does not fill in the pores as well as the L'Oreal one.
So far the least favourite one for me is Covergirl Olay Simply Ageless Serum Primer. It left my skin well moisturized but extremely shiny, quite the opposite of what I wanted in a primer. In fact, it is so glossy on the face that I ended up using it as a night cream. The consistency is indeed creamy and light. It could work really well on a very dry complexion, though. I bought this on in New York for 14 $.
Lastly, I also have N°7 Shine Free Primer. It cost about 12 $ and I have not tried it yet, but I intend to review it in due course.