By far one of the easiest DIY projects I've seen! The possibilities are endless, since all you need is a decent piece of fabric and an old lampshade (or alternatively, you can buy one at a second hand store). The rest of the supplies you can pretty much find around the house. Definitely a project I'll be trying whenever I feel my old lampshades need a little oomph.
You can find the step by step instructions at It's Overflowing.