Oil-free day cream, oil-free primer (mattifying if it really has to last all day) and matte finish foundation is the way to go.
I'm testing different products at the moment - Uriage Aquaprecis day cream, which is okay, Illamasqua hydraveil primer (use it as a moisturiser/primer - and it's good), Clinique Anti-blemish day cream (very good, but have been using the 3 step system for a while) or La Roche Posay Effaclar K (also okay).
I don't always use primer, but have used the green one from Smashbox, which is fine. The oil-free one might be better for oily skin though.
Or Laura Mercier oil-free foundation primer.
You can also use the Laura Mercier Secret Finish mattifying primer (which can be used on top of make up as well).
I use Diorskin Nude foundation and am very happy with it. Bobbi Brown makes a long lasting one which is also good. Bourjois's Healthy Mix Foundation is also very good.
Powder on top - I have a couple of different ones: Guerlain, MAC, Essence.
For touch-ups, I use MAC Select Sheer pressed powder.
You can also use those little oil-absorbing sheets of paper. Personally, I don't like them, but loads of people do
Having to powder during the day is quite normal. The products that are made for oily skin tend to contain oil-absorbing ingredients, and there's only so much oil they can absorb. Having a product that absorbs everything would not be nice, as it wouldn't let your skin breathe at all.