This photo was taken from Morphe Brushes website. For showcasing size and overall look of single shadows.
You can buy single shadows from Morphe brushes, Coastal Scents or Makeup geek. All reasonably priced OR If you have favorite shadows from Misc. palettes and you want them all in one place. Depot them! If you are confident with depotting shadows, blushes etc. Do it! It's fun. Attached photos are my own.
This is what they look like empty.
In this White "large" Z palette I depotted my Stila "in the nude" palette. A few of my favorite pink blushes from Shany cosmetics and A Ulta collection brow powder and cream liners. I plan on filling this bad boy up with more highlighters and bronzers!
http://morphebrushes.com/collections/individual-eye-shadows
http://www.coastalscents.com/makeup/eyes/pressed-shadow.html
http://www.makeupgeek.com/store/eye-products/eyeshadows/makeup-geek-eyeshadows.html