I have really sensitive skin too! I'm Sicilian and Irish, and I have combination/oily skin that's prone to breakouts.
Because my skin's so oily, I use the Bare Minerals kit by Bare Escentuals. I got a starter kit on Sephora. I LOVE their Mineral Veil.
I dust on the Mineral Veil first, to absorb shine and prepare my skin for the tinted powder. The brushes that Bare Escentuals includes in their kit are crap - the bristles are thick and stiff. I have a large, soft, fluffy brush that has very fine bristles.
You have to do their buff-and-swirl thing, and make sure that there's no powder visible on the brush or else they cake and look really weird. I think that the next color I buy from them will the the palest one they stock, because the "Light" has a yellowish tinge to it that's supposed to mask redness. If you apply too much, your skin can look sallow and weird.
It sounds silly, but watch the videos (either on their website, or on the DVD that comes with the Get Started kit). Like I said, I start with a dusting of Mineral Veil, then I buff on the foundation, then a tiny smidge of Warmth, and then another dusting of Mineral Veil.
I have tried other mineral foundations, like Philosophy's The Supernatural, but didn't like them anywhere near as much as the Bare Escentuals. They don't make me break out and the coverage is very natural and lovely.