I have been trying to find an eyeshadow palette rather than purchase eyeshadow individual because I figure it will be cheaper to get several in a palette. So far not much luck. I was able to find two, one is very expensive and the other rated pritty high on the cosmetic data base.

Have you checked out Alima Pure?  You could purchase a lot of eye shadow samples to get a full palette.  Their samples are decent sized (I'm still using mine) and around $1.50-2.00 each.  

My favorite eyeshadow is actually their Luminous Shimmer Powder in Whisper, which I guess isn't technically an eye shadow.

http://www.alimapure.com/face/luminous-shimmer-powder/whisper

Ecofriendly packaging for palettes are so expensive for the small manufacturer/ home crafter, so that is why they are pricey (And the acrylic ones are not that much cheaper either.)  I was looking at the packing through a wholesaler (I make my own bath and beauty products), and the packing costs around $49 for 10 palettes (no eye shadow included in it yet, lol). So if you find a product that is cheap, you might want to question if the product contains what it says it contains and wonder where it came from. 

Smurfy - I love Alima Pure, too! They great prices on samples, which are quite generous.

Another good budget options is Everyday Minerals, who offer some fun collections.

If you're serious about a palette, however, I'd recommend creating your own (such as a "smokey eye" collection) from Ecco Bella, who offers an amazing "paperback" compact and magnetic eyeshadow refills.