First off, remember that even if you're buying a lamp with a shade, you're still really only buying the lamp -- shades can be easily changed. That said, look for a silhouette you love. Remember that it doesn't have to be a plain, functional lamp: Treat it like a sculpture.
You can also go for a floating pendant light, if none of the lamps you're looking at really feel right. If you can't afford an electrician to wire the ceiling, find a floating pendant that you can hang from a hook in the ceiling and then just plug in.
Now that you've got the lamp, find out how to buy new lampshades.
Nestpert: Jennifer Bertrand, season three Design Star winner.