I was testing MAC foundation shades, but when the SA handed me a mirror to see how well N2 matched my skin, all I saw was my hideous under-eye shadows.
They were purple.
So I've declared all-out war on my mauve eyelids and deep purple undereye circles.
I'm on the lookout for the best under eye concealer regimen ever. So far, this is what works best for me:
1. To plump up lines and allow the concealer to spread easily without caking, I apply my usual eye cream and let it sink in. If you use an eyeshadow primer, like Urban Decay Primer Potion, apply it next, before concealer. (But I find my concealer works great as a primer all by itself.)
2. If you can't remember which makeup to apply first, remember that in general, powder goes on top of liquid and creams, and more heavily pigmented cosmetics go on top of less. I wear tinted moisturizer or liquid foundation, so my liquid concealer goes on top of that--with powder, if any, going on top of it.

or Revlon Age Defying Moisturizing Concealer
4. To pick the right shade, match your foundation or go a bit lighter--but not ridiculously so. You don't want to end up with light rings around your eyes. Also, keep the color wheel in mind. While I'm not going to tell you to wear a colored primer or anything that complicated, I find that if I pick a slightly-yellow-toned concealer, it does a better job of covering up purple shadows.
5. I squeeze the concealer onto the back of my left hand and work it into a Taklon concealer brush, like the Japonesque Taklon Synthetic Travel Concealer brush (#BP-910)
6. Using the brush, I apply concealer over the inner third of the lower eyelid, and feather it towards the outer corner. You need to get the concealer up into the inner corner and against the side of the nose; that's where the darkest part of the shadow is. Don't get it too close to your tear ducts, or your eyes will water. And keep your concealer away from any lines you have.
7. Let it set, then blend the edges with your finger tip in a rolling motion. This is when you eradicate the demarcation between the concealer and the rest of your face.
8. If your eyelids have visible veins that make you look tired--and mine do, she complained in a wan, exhausted voice--apply concealer over the entire lid, from lashes to brows, applying it most heavily in the inner corners and across the lids where the veins show through, and feathering it away towards the outer edge of the eye area.
9. Let your concealer set while you do other makeup and move your face normally, then check for creases. Maybe apply a litte bit more where you're darkest.
10. Two excellent video tutorials are Kate Shepherd for Expert Village and Michelle Phan's.