I came across this great post about how to make a DIY bentwood lamp today at How 2 point oh. The whole project was done for around $30 as far as I can tell. You can read all the juicy detail on the original post, but the basics are like this; Start with a piece of acrylic, use a heat gun to bend it into the shape that you want, get some glue on birch veneer and stick it on. Last add some LED lighting across the top, and you're done! Looks like a great little project.
Check out How 2 point oh for other great hacks and projects.