The moment this clicked for me was in a reading corner, of all places, a tired armchair next to a lamp that had the right base and the ugliest, brightest white shade I'd bought on autopilot. Swapped the shade for one in a soft cream with a little texture to it, nothing else changed, and the whole corner suddenly looked like somewhere you'd actually want to sit. Same bulb, same chair, completely different room.
Color is where most people overthink it and then underthink it at the same time. White feels like the safe choice, but a flat, bright white shade can throw a cold, almost clinical light that makes everything under it look like an exam room. I've had better luck with warmer off whites, cream, soft linen, even a pale gray, because they soften the light instead of just blocking it. Darker shades have their place too, but they change the mood of a light fixture completely, they go from lighting the room to lighting a small pool on the table, which is its own kind of nice if that's what you're after.
The difference between a shade that lasts and one that sags within a year usually comes down to what you can't see. Pick it up and check the frame first, it should feel sturdy in your hand, not flimsy wire that bends if you look at it wrong. Run a finger along the seam where the fabric meets the frame, a well made shade has that glued and stitched cleanly, no visible globs, no fraying threads waiting to let go. The fabric itself matters too, a shade with some weight to it diffuses light evenly, while a thin, cheap one gives you hot spots and shadows that make the bulb's shape visible right through the fabric, which looks worse than you'd expect.
If you're starting from nothing, go with a plain drum shade in a warm neutral, nothing with a pattern or a shape that only works with one specific lamp. A drum is honest, it works on a base that's skinny or wide, modern or secondhand and a little beat up, and it won't fight with anything else in the room while you figure out what you actually like. Get the proportions close, roughly matching the shade's width to the widest part of the base, and most of the guesswork disappears.
So before I buy, I ask myself one thing standing there in the shop: if I turned this lamp on right now in my own living room, would I actually want to sit under it for a whole evening?