Great guide Djinn
For UK users, check out Hobbycraft. They have competitive prices on lamps and bulbs, and occasionally they have lamps on sale.
I got this
from them at xmas for about £25.
I must admit I was dubious at first at spending any kind of money on a 'special modelling lamp', but the difference is amazing. If you enjoy painting and your skills are progressing it's a worthy investment.