This is a hotly contested issue around the office, mostly because everyone is looking for something a bit different in their setting powder. From where we stand, though, beginners can't go wrong with Make Up For Ever's HD Microfinish Powder. It does a little bit of everything: cuts shine, blurs marks and dents, and preps your face for flash photography. Apply with a fan brush (the Beauty Is Life one is great).
Alternatively, Nars' Light Reflecting Pressed Setting Powder (along with their thick and glorious Botan Brush) gives an almost imperceptible finish—which some people won't like; this will not make you matte. But it will make whatever other makeup your wearing last for forever and suck up some oil in the process.
If neither of these strike your fancy, there's always the original, Coty Airspun Face Powder. Loose and in a big, nostalgia-inducing tin (it'll fit right in next to your decorative talcums), you can't beat the price (under $10!). When it comes to setting powders, simple and standard is often best.