Whenever you say lamps you do not think of the light separately and the shade separately. They usually come as one unit and most of them have such differently shaped shades that they are not interchangeable with other lamps. Replacing a shade may or may not be a problem depending on how common the design of the shade is. Most of the normal ones are easily replaced and there are stores that will have a number of shades of the same size so that you can try mixing and matching if you want.
Glass as a rule is not used much anywhere except where absolutely essential. If some other material could be found to replace glass and is as cheap to make, even automobiles would not have glass windscreens and windows. The problem is that glass has a number of properties that other materials do not have and is also very cheap to manufacture. The base glass is nothing but molten silica, one of the most common elements on our planet. Of course you get different kinds of glass and depending on what kind it is each will cost differently.
This is basically the reason why the costs of lamps differ. The ones that, by default, come with glass shades and the ones that have simple milky white or amber shades are not too expensive. If the glass has been worked into an intricate design then, obviously, it will be more expensive but usually the less intricate ones are both simple to make as well as being easy to manufacture.
Colored glass is slightly more expensive and is very commonly used for shades. You get both the cheaper dark colored glass as well as the more expensive ones which are very easy to identify because of the quality of the color in the glass. Colors are produced by adding in impurities to the glass when it is liquid and is an art to get right, especially if you are making anything on an industrial scale.
The same colored glass can be assembled in different pieces like a tiffany lamp to look completely different. A tiffany lamp shade will have a number of different glass pieces of the same color but with different shades that have all been assembled together to form a pattern. This is very slow painstaking work and is difficult to mechanize which is why they usually cost a lot.
You also get slag glass lamp shades and they look very nice too. Slag is the waste material that comes out of metal foundries and glass makers found that adding this slag gave glass a very unique pattern with swirls and streaks much like how marble or a good wood has grains have in it. These streaks are part of the glass itself and not drawn on them and putting in different slag will give the glass different colors.
The most expensive of the lot is obviously crystal glass. Crystal glass is so pure that good crystals will be invisible if dropped into a bowl of water. Their refractive index is also so high that they will appear to glint like diamonds. Although it is also the cut of the glass that does this, normal glass that is cut in the same shape will not have the same refractive index. Crystal glass is also not as hard as ordinary glass and can therefore be buffed to a very high shine.
The options for glass lamp shades are too numerous to list here and the easiest thing would be to go online and look them up. As already mentioned glass can be very cheap as well as very expensive and you will always be able to find something for you.