Like yourself, I found some blades to not do their job as well as I'd like; Merkur blades spring to mind. However, I gave some Wilkinson Sword blades a try. These were better, but still not quite what I was after. After reading about Tesco's "Own brand" blades, I gave those a try... and have used them ever since; although I'm currently giving Derby blades a go. It was also discovered that the Tesco own brand were in fact repackaged Israeli-made Personna blades; which are rebranded for various other stores as well.
This page here gives a sharpness rating of the most commonly-available blades out there.
DE's are a learning curve. There's no one setup that will work for everyone, it's just a case of trial and error. Get yourself a blade sampler pack. :)