I've seen versions of this kind of lamp around the internet but I figured I'd give it a shot. It's made from several different varieties of wood.
Step 1: Turn Blanks
Take the blanks and put them up on the lathe. Using your various turning tools shape them to your hearts content.
Step 2: Repeat Again and Again
Repeat for each one of your different wood blanks.
Step 3: Drill Holes
The base blank needs a the hole through it like all of them but it also needs one through the side for the power cable. The rest I drilled through at different points to allow for shifting them to create an interesting form overall.
Step 4: Final Layup and Wiring
Once you have the pieces positioned the way you want them, its time to wire the whole thing up. I purchased a cord, lamp harp, and bulb kit from home depot and assembly is crazy simple.
Step 5: Enjoy Your New Lamp
Put a lamp shade on it, screw in a light bulb, plug it in, and enjoy!