Lampshades are a great, easy way to impact the look of your room. When I was looking for one to update a table lamp in my living room, I first tied the offline world, and found two shops in the Bay Area. At one shop, the gentleman there thought that the lack of lampshade stores are because everyone is decorating from Pottery Barn and people don’t care about selecting different lampshades. But I found that the stores typically have older and less contemporary shades, so I'm not sure which is the chicken, and which is the egg in terms of why people don’t change their lampshades. The nice thing about a physical store is that you can take your lamp in and actually try the shade on in the store, which is the ideal way to buy one I think. Which means that if you buy it online, check out the return policy and see if you can send it back if it doesn’t work. The scale of the shade to the light really makes a difference, and generally the objective is to have the shade come down to the neck of the light.
In the online world, I found that a variety of sites have some selection of shades. Here is my survey of some of the places I looked at. If you’ve found a great source, please add a comment to let everyone know where to look.
Pottery Barn- Limited selection, nice shades. Frustratingly don't tell you what the hardware on them is. Some are internet only
School House Electric- All glass, vintage style shades, a lot of shades for flush mount ceiling lights
Browns Lampshades – more traditional selection, but gives a nice overview on the types of shades available (Drum, Empire, Bell, Rectangle, etc)
LampsPlus– By far the largest selection here, the issue is finding the one you want. Luckily they do have functionality to narrow what you're looking for with criteria to narrow it down (some don’t apply, but enough do). They also have the ability to build custom shades.
Not available (I checked – as of this post – and you won’t find them here)
Room and Board
West Elm – They only sell their lampshades in stores, and it’s hard to find images of the selection online, so they too ended up in this section.
Crate and Barrel – ok, they actually have three types of “Chandelier Shades” but there are three and they are small to cover the lights on a chandelier, so limited that I had to put them in this section.