Purchase a lamp harp or bulb clip at a hardware store if your bulb does not already have a harp to use for attaching a lamp shade.
Buy a lamp shade from a home decor or hardware store. Find a lampshade that fits the color or decor scheme in your room or pick a plain white shade and decorate the shade to your liking with paint or decals purchased from a craft supply store.
Seek out a unique bulb covering that doesn't require a traditional lamp harp. Visit modern home decor stores and look for special clip-on lamp shades that clip directly to a bulb and come in modern and unusual shapes and designs, including shades that fit on ceiling fixtures with bare bulbs.