I tend to have very oily skin and the best advice I can give you is to look for products that state to be "Oil Free", "water-based" or for "oily skin".   During the summer I use MAC"s Oil Control Lotion, it has really helped me control my oily skin. I do recommend wearing some type of oil free spf to protect your skin.  I recommend Dermalogica Oil Free Matte Block SPF 20.  Overall, I really like this moisturizer, my skin feels really fresh and smooth and it has improved my oil in my t-zone area by far.  I know these products are a bit pricey but you should try them out.  Go to a MAC counter and ask for a sample, that way you can try the product before having the commitment to buy.  Another alternative is the Neutrogena Moisture Oil Free Formula, SPF 15, although I do prefer a higher SPF, this is another product I go to when I am out of my other alternatives.  Hope this helps :)

I totally agree with CEMUartist. Definetly get an oil-free moisturizer and always try a sample first because skincare products can sometimes be expensive, but I think when it comes to your skin, its a great investment. Also, look for products that say 'mattifying' or 'absorbs oil' so you can control it throughout the day. If your prone to acne, look for products that contain acne fighting ingredients such as salicylic acid or benzoyl peroxide. And even though you should always use sunscreen, SPF tends to make your skin more oily and shiny. You can always use the Peter Thomas Roth sunscreen powder for those days in the sun. I just started using mark. 'Matte Chance' moisturizer and it seems to be working pretty well. My face stayed shine free through a busy busy day, and its not too expensive, $18 I think? Hope this helped a bit!

Another important tip is that make sure you don't use TOO many oil-control products. If you keep using blotting papers or too many products, then that forces your skin to overproduce oil to compensate. I didn't believe that until I held a test over a week and I was shocked. I reduced the amount of oil-control products I used and I have LESS oil now than I did while using those products, all day long as well. Because I have less visible oil, my acne has also reduced quite a bit. I don't breakout nearly as much. 

I got a sample of the MAC Oil Control moisturizer and it's good stuff. It really does control oil! I'm going to buy some next time I go to the MAC store.

I have oily skin as well. One trick i use is that i apply the moisturizer to my face while it is still moist (with warm water) it helps it absorb into the skin better, instead on sitting on the surface. Serum, or gel moisturizers work the best on me, to control oil.

Ji I also have quite oiy skin, but I manage to keep shine free during the day when I use my Clinique Drmatically Different Moisturizing Gel. I use the gel instead of the lotion because the gel is made for oilier skinned people and the lotion is more for dry and combo skinned people. I know you only recommended a moisturizer for oily skin but I find these products also work wonders for oily skin.

Clinique Liquid Facial Soap Oily Skin Formula

Clinique Clarifying Lotion 3 Oily Skin

Olay Shine Control Lathering Cleanser (Its more of a mud mask really but mud absorbs oil)

Olay Oil Control Toner

Clean & Clear Oil Blotting Sheets

Clinique Stay Matte Sheer Pressed Powder

Hope this helps! :)