over at Instructables
has a nifty tutorial
for making your own custom lighting fixture from - among other things - plastic milk jugs. He provides a template that looks sort of like a parallelogram with notches in each corner. You use the template to create as many identical pieces as you like - he even offers suggestions for different methods of cutting.
The pieces are then joined together by the notches - no glue or screws needed. Last thing you need is a basic lamp fixture
and a bulb that won't melt whatever material you choose for your fixture. Sheer genius.