Even if you can't imagine a new function for an old lamp, you can still use them as decorative pieces around the house. Once you part with the shade, consider cleaning out the bases, especially if they're large. They can make beautiful vases or -- believe it or not -- gorgeous doorstops.
If your old base is made of glass, fill it with brightly colored glass beads, available in bulk from craft stores. Ceramic bases can be decorated and repainted. Metal lamps, which are naturally very sturdy, can be spray-painted to freshen up the original metal tone.