If you really can't think of anything you want to do with that old lamp, donate it. Goodwill and other similar charities are always a safe bet, but also consider local theaters and schools with tech programs. The theaters can use the lamps as props -- especially if they're vintage -- and the tech programs can use your old lamps as guinea pigs in class. A high school, summer stock program, local community group or Shakespeare festival are among the possibilities.
Your nearest recycling center may accept old lamps of different materials. You can also look at U.S. Environmental Protection Agency regulations in case you have an older or mercury-containing lamp that needs to be disposed of as hazardous waste [source: EPA].
That dusty lamp of yours may be old but, odds are, it's still of value in one form or another.