Please don't match your lampshades. They can be different shapes, textures and colors. I don't go crazy on colors--I stick with white, cream and ivory (okay, sometimes gray or browns). I love the ocassional plaid lampshade, a woven wood kind of look, tweeds. I like one to have some trim on it, like a simple ribbon around the top and/or base. A good lamp store will help fit your base to the perfect shade. Worth every penny, although I've seen great lampshades in big box stores as well.

If your bases match, then the shades for those lamps should match.
If not, then no.

Here's a great resource for custom shades:
http://www.fenchelshades.com/