I hate light bulbs without a diffuser and instead of spending 15 bucks on something reminiescent of a super 8 motel room, I decided to endeavor to make a personalized lampshade! It was easy. All you need is:
Scissors
Glue
a bowl
water
small trash bag or saran wrap
2 sheets of 19"x24" tracing paper/ tissue paper (smaller sheets will work fine)
a variety of colored translucent thin plastic OR lots of different colored tissue paper
something to act as a mold (i.e. trash can upside down)
patience

Step 1: Preparing the Area

So I always make a mess while papier mache-ing so I put a towel down under the area that I would be working.
To start - I grabbed my 99 cent generic trash can and turned it upside down so it resembles a lamp shade.
In order to make this paper and glue not permanently stick to the trash can, I used a small trash bag to cover the trash can. You can also you saran wrap.

Step 2: Cut Up Your Sheets

Now take your tracing/tissue paper and cut it up into manageable strips. I made mine about the length I wanted the shade to be so about 5 inches long and 2 inches wide, but you can do whatever is comfortable for the size shade you are working on. If you leave them too large they won't lay flat around the curves.

Step 3: Mix the Solution

Now mix your glue and water. Measurements don't really matter I just do it on instinct. Probably about a tablespoon of glue to a cup and a half of water. I always have leftovers but you want it liquidy enough so that the glue spread evenly. Now I mix with my finger, don't be shy your whole hand will be covered in glue shortly.

Step 4: Paper Mache

Start by dipping the cut strips into the bowl submerging all parts and slowly pulling the strip from the glue. You don't want it soaking because it will take much longer to dry but you do want it saturated. If there is a lot of excess glue on the strip run the strip between your thumb and pointer finger above the bowl of glue.

Step 5: Apply the Strips to the Form

Place the strips on the form (i.e. trash can) anyway you desire. You can get creative and make the design simply out of the angles that you create while applying this first layer of tissue paper. I prefer color so I just apply straight down on the sides and criss cross on the top (for added reinforcement).

Step 6: Wait

Wait for the first layer to dry

Step 7: Add Another Layer and Wait Some More...

More layers will equal more stability in the circular form, you can do as many or as little as you like but if you want it looking good for longer I would recommend doing at least 4 layers. More if using the plastic colors instead of colored tissue paper.

Step 8: Now for Color!

Now do the same paper mache technique with either translucent plastic swatches or colored tissue paper. I have found that the success of the lampshade relies on this step. Placement of the colors is important and should be considered. You probably don't want to put a lot of dark colors on one side and light on the other because less light does actually get through the darker colors. So try to even them out.

And wait some more.

Step 9: Remove From the Trash Can

After it has completely dried you should be able to very easily remove it from the trash can and the trash bag. Some trimming along the bottom edge can be done to make it look finished. Or if you took care in your placement of the strips it will look finished already.

If you want to make sure nothing pops out of place you can spray a protective coating over your fully dried shade.

I am using a low heat light bulb so I will place this shade directly on the bulb. I have tested this and I have had no problems with the setup but I am not saying that you won't. Please be careful and make sure that yours will not catch fire.

Voila! A one of a kind lamp shade! Sit back and relax without any bright bulbs hurting your eyes!

Step 10: Variations

I have also hung this from a ceiling fixture by using craft wire and a hole punch. I threaded the craft wire through the holes I punched into the light shade and then through the screw holes in the fixture. This was sturdy but hard to remove for routine bulb changing.
If you don't have a low heat bulb I would not try to put this directly on the lamp. I imagine that would be asking for a fire. Maybe you could find an old lamp shade form and cut the top out to ensure no fire.