A lamp without a shade is just a bulb showing off, and nobody wants to sit under that for a whole evening. The shade is what turns raw light into something you can actually live with, softening it enough to read by or eat dinner under without feeling like you're under questioning.
In an ordinary room, a shaded lamp works best next to the things that already have some weight to them, a side table, a stack of books, the arm of a sofa where someone's hand naturally lands with a cup of coffee. It fills in the gaps that an overhead light leaves flat and shadowless. Put one in a corner that otherwise does nothing in the evening and the whole room reads differently, warmer, less like an office.
If you own none of these, start with a plain linen or cotton shade on a simple base, nothing patterned, nothing with a finish you'll tire of. A pale or off white shade throws the most usable light and goes with whatever you do next to the room around it, so you're not locked into one scheme before you've even picked a sofa color. Fussier shades, pleated silk, dark linings, colored glass, are worth having eventually, but they're a second or third lamp, not a first.
When you're looking at one in a shop or unboxing it at home, check the shade sits straight on the frame and isn't tilted, because a crooked shade is the kind of thing you won't notice for a week and then won't be able to unsee. Check the harp, the little wire frame holding it up, is the right height so the shade doesn't sit too low and scorch, or too high and expose the bulb underneath. And look at the fabric in daylight as well as lamp light. Some linens go slightly yellow under warm bulbs in a way you won't catch in a showroom.
Over time the shade is the part that shows its age first, not the base. Fabric ones pick up dust fast, especially pale linen, and need a light vacuum with a brush attachment every so often rather than a wipe, which just pushes dust around. Paper and parchment shades yellow slightly with years of use, which some people like and some don't. The base, if it's metal or ceramic, will outlast several shades, so don't be precious about swapping the shade alone when it finally looks tired. That's the whole point of buying them separately in the first place.
A good shade is doing more work in a room than almost anything else you'll buy for under it.
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