Whilst I was in New York, I went into a Sephora, which is nearly as regular as Starbucks! Whilst queing to buy a few presents for people back home, I saw a Setting Spray, by Urban Decay. It claims to keep a matte look for up to 16 hours. So I decided to buy it, it was only a small bottle of 15ml, but for $12 I thought that was pretty good. I've never used a setting lotion before so I have nothing to compare it to, however I thought it held a full face of make up really well. You apply it before and after using make up, and it doesn't itch or irritate my sensitive skin at all, which I was also pleased about.
It seemed to keep my make up on all day, as when I went to take my make up off before going to bed, it took longer than usual, as the make up was still on my face! (for once) I think it will be worth testing this on a night out to see how it fairs in a hot and sticky club, then I'll know if it works perfectly!
You can buy it in the UK in Debenhams but only in an XL bottle for £23, if you are looking for a good setting lotion I really would recommend trying this out, especially if you have oily skin.