This happens to me occasionally. Here are the things I look at:
1) Age of makeup
2) Brush/applicator cleanliness
3) Environmental factors at play
4) Dry eyes
I clean my brushes and applicators well, cut down on the eye make-up in general, then I start a routine of eye-cleansing, like Roberta suggested. This can be done with baby shampoo and a warm washcloth, or you can buy an antibacterial eye wash at a drugstore (found by the eye care stuff). I use Theratears for dry eyes, too, just in case. Antihistamine if nothing else seems to be working 100%.
I can't say it's ever been *just one* of the things listed above. I'm usually able go back to using my regular eye products, too, eventually, without having to replace them (because of infection or something). I'm never really sure what the underlying cause is, but addressing all these areas alleviates symptoms and gets me back on track eventually.
Also, I recommend Avene eye creams during these sensitive times, too.