In the past couple of months, a few friends and I have taken lathe lessons with Jimmy Clewes, who (luckily) lives right here in Las Vegas. If his class doesn't get your heart pumping to buy a lathe, I don't know what will!
In my Intermediate Woodworking class that's running right now, we were playing around with compound miters, and some of the students made lamps. The hardest part about making a lamp is finding an appropriate lampshade to go with it.
Here's a pretty awesome clip of a lampshade being made on a lathe. I'm not too sure of its durability; the heat from the bulb will probably dry out the wood and cause some nasty cracks.
Still, it looks awesome!