Inexpensive but pretty! Making candle holders from wine glasses. someone made the suggestions: make your own shades from different papers for different occasions or even different holidays. Also you could do cutouts on the paper so more light shines through.
After making sure your glass container is completely clean and dry, just cut around the transfers you like, then use the burnishing stick that comes in the package to carefully rub designs onto the vase (exactly as you would if you were rubbing them onto paper). Transfers are sold in almost any store that carries scrapbooking or other craft supplies as well as online... Search Amazon.com for rub on transfer letters.