This is something where everyone's skin is different and YMMV, but for me, alcohol-based aftershave works a lot better than balms for making my skin feel good after a shave. I use Old Spice or Pinaud Clubman (caution: it stings!), after rubbing on a block of alum (and washing it off again straight away).

When I was using balms, I liked the Nivea Sensitive Aftershave Balm, and Crabtree and Evelyn West Indian Lime balm.