Before I stumbled upon the holy grail that is RCMA No Colour Powder I used baby powder/talc to bake with, which I still use occasionally as a cheap alternative.
Baking is super good for basically setting your make up, keeping your face flawless and helps with the longevity of the make up. For instance the most common use is for under eye baking which helps to stop the concealer from cracking and flaking under the eye. It also helps with lightening the area you’re baking.
I purchase my RCMA No Colour Powder for £9.95 on Love-makeup.co.uk.