A lamp shade includes first and second interlocking shade sections. Each of the first and second interlocking shade sections is made of a plastic material and has a different color than the other section. The lamp shade also includes a bulb socket supported by the first interlocking shade section and at least partially surrounded by a plurality of ventilation holes. One of the first and second interlocking shade sections has an annular recess and a set of spaced fingers within the annular recess. The other of the first and second interlocking shade sections has a radially inwardly directed annular flange. The annular flange including a set of slots sufficient in number and sized so as to receive the fingers, whereby the fingers are received in and rotatable relative to the slots to interlock the first and second interlocking shade sections.