The makeup you wear on stage to better embody the role of Lady Macbeth can be called maquillage. The thick, exaggerated maquillage exaggerates your features so that the whole audience can see your face.
The French word maquillage comes from the verb maquiller, which means "to apply makeup," but also "to disguise or cover." In English, the term is most often used to refer to theatrical makeup — or to sound extra fancy: "My sister, the queen of maquillage, did all the face painting at the party!"