It's quite fun. All you need is a tin can, or "bucket", of any size, a nail and hammer, and a candle. Take the nail and hammer and poke holes all over the bucket. If your bucket doesn't have a handle to hang it with you can make a simple one with some string or wire by threading it through a nail hole on each side of the rim. Then you put the candle in, light it, and hang it up. The light that illuminates from the nail holes in this homemade lamp is amazing every time. :)
You can also use plastic to make these. However, with plastic you can also take a knife, or scissors, to the bucket and make cool designs.