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)
Shoe Storage Solutions: Under $100
Marisa and Peter's Playfully Eclectic Home
Good Food to Share 
The Big Book of Small, Cool Spaces 
Apartment Therapy Presents 
The Eight-Step Home Cure 
Z2 iPod Dock and Wi...
10 Low-Budget Pantry Items Everyone Should Have
Summer Recipe: Gluten-Free & Vegan Strawberry Shortcake
Great lamp.
The look of a plastic-covered lamp cord works here, but if you try this and you want a different look, consider rayon-covered lamp cord. You might find it in a local well-stocked hardware store or an electricians' supply store. Otherwise, search online for "rayon lamp cord" for a source. It comes in white, black, brown, and gold.
or you can always do what I've done. I went to an art store and bought an art pen in the color I wanted. I have also wrapped the cord in silver mylar.