We've so been wanting to try this! I even bought a glass drill bit! It's sitting on top of my washing machine because I'm too scared to try it. But look how amazingly it worked out!
Aaron from The Thrifty Abode overcame the fear of cracked glass, and we're so happy she did. These lamps can cost an arm and a leg at big retailers, but she picked up a beautiful vase for $15 and, after drilling the hole and following the instructions on a $10 lamp kit, she ended up with a gorgeous lamp. Yay! It worked! You'd never know this was a DIY. Check out her blog post about the process to see great photos and get some great tips on drilling the hole through the glass.
(Images: The Thrifty Abode via Remodelaholic)