For starters light bulbs have a slight gradient as they get darker towards the socket; don't make the bulb a solid color. You might also consider making the shade glow. My banker's lamp has a green glass cover that glows when turned on. Then emphasize on silhouette detail on the lampshade.

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What renderer are you using?

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[Link to www.3dprevis.com]

OK, well....Steve's question is the easiest to answer: mental ray.

Now to isaac's....ehm....I made it a solid color just to do something, I didnt plan tu use that sphere as a bulb. It was an attempt! Let me describe: the lamp is made of 4 parts: base, stem, "neck", glass. Making up the light is the easiest thing, but I wanted a light bulb inside the lamp, so I made a sphere, gave it a white self-illu and moved it inside the glass....not exactly what I expected to see. The self-illu doesnt work, beyond the glass, so I made a free spot to light it up from below, and this explains why half of the sphere is so flashy and the other half is in shadows; I think the gradient wouldnt make it either, since it's a matter of "globular illumination". =p
I'm not sure the glow can be visible beyond the glass, but I could try...and about the lampshade (I guess you mean the glass "flower", yep, I was already thinking of something really nice, if my skills will help me realize it.

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No Gods but Yourself!! >.<

Are you trying to make the lightbulb give off more light? If so, one method might be to use a sphere shaped area light. Make sure the visible option is on otherwise only the light it gives off will be visible.

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[Link to www.3dprevis.com]

Tried....negative =p
Or I might've misunderstood what you mean. I've given the light a volume light effect to make it visible, but it cant be seen through the glass. =o
Is this what you were thinking of, saying I should turn the "visible" option on? Guess not, so where is this option located, in 3DSMAX? =p

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No Gods but Yourself!! >.<