If a girl doesn't cake on all the heavy stuff and look like a plastic barbie then it's fine. I usually just use a tinted moisturizer and some powder, so it feels like there's nothing there. With lipstick/balm i guess we just get used to it (and flavored lipbalms (eos) are heaven).
It depends on the kind of make you are using and what applicator you're using. When I used sponges to apply my foundation it felt cakey and didn't look good. But after practicing applying make up and using a different foundation as well as a brush to apply it, I find most of the time when I wear make up I often forget I'm wearing it. When I use a good primer, it helps to keep the make up in place and keep it from basically melting away which is were I often feel it becoming cakey or oily feeling. So yea. But thats my experience. haha.
It stars feeling yucky when it has been on your face for several hours. It feels fine when you first put it on and you're in a nice air-conditioned area. I wouldn't put on makeup if I am going to be in the sun all day.
I wear bb cream which is very light and has skin benefits. Other makeup like eye makeup and Chapstick doesn't feel weird or heavy to me. It does feel gross if I fall asleep with makeup on (even for half an hour).