Moisturisers work in 3 ways:
Occlusives - these hold water in after it has been supplied either by the moisturiser or a soak in water. Best example of this would be Vaseline - but obviously that is really greasy and make up will not sit well on it. Other common ones are cetyl alcohol (a fatty alcohol), lanolin, lecithin, mineral oil, paraffin, and stearic acid.
Humectants - these sponge up water, drawing it up from the dermis and, to a limited extent, in humid conditions, from the air. Some of the commonly used humectants include glycerin, honey, panthenol (or vitamin B5, an example of a vitamin being used for its physical, not nutritional, properties), sorbitol (yup same as the artificial sweetener), and urea. Humectants can potentially make skin even drier by pulling water into a damaged, arid stratum corneum that doesn't hold moisturiser. So, as a practical matter, they are almost always used with occlusive ingredients that trap the moisture the humectants draw into the stratum corneum.
Emollients - these fill in rough spots and make skin feel smooth but don't affect the water content. They don't moisturise. They'll be the silicone type ingredients.
Despite all the hype and claims, very few moisturisers contain anything miraculous to do the jobs described above and spending a fortune is not a guarantee of better results, which are always only temporary.
On a recent BBC TV show that tested the properties of a variety of price ranged moisturisers, they found one of the most effective was Nivea Refreshingly Soft Moisturiser Cream, which is bargainous. It has high levels of occlusives and humectants in the form of glycerin and liquid paraffin, as well as dimethicone to fill in all the rough spots.