Lamps aren't terribly expensive -- even some of the cooler ones -- so you're not going to save a lot of money by making your own. That said, if you've ever wanted a great project to teach you about basic electronics, MAKE's got a simple set of instructions for creating your own energy-efficient lighting.
While not a simple project, MAKE holds your hand through the entire process with detailed instructions and a helpful video (that you can watch above). The final product looks just as good as anything you'd buy in the store, and you'll have learned how to create a simple appliance -- knowledge you'll need for more advanced and exciting DIY projects in the future.
Little Big Lamp [MAKE Projects]