My rule of thumb is to never buy anything at thrift stores that might have come into contact with urine, pet or otherwise. The odor, almost undetectable on a dry winter's day, can emerge from that easy chair like a hungry bear in the humid days of summer.
Lamps are free of that problem, one reason I find them a particularly good thrift store buy. My wife and I have had a great deal of luck recently shopping at thrift stores for solid brass lamps that fit our decor. Although the stores usually have a number of faux-brass pieces as well, these fakes can be easily identified by lifting (brass is heavier than it appears) or by checking under the felt base pad.
I haven't paid over $6 for any of my finds, usually because the electricals are damaged. However, replacing the light socket and cord in a lamp is easy, quick, and inexpensive. Add a cheap lampshade from WalMart, and for under $20 I have a lamp that would sell for $80-100 retail. And it doesn't smell like pee.
We don't burn candles for light, but my wife does like to make her own scented candles. Sadly, the cost of wax keeps climbing, now over $1a pound. Fortunately, we've found from time to time shelves full of old candles, usually holiday-themed, on the shelves of our thrift shops. The styles may be hideous, but they melt down into reusable wax at quite a savings per pound that we can craft into our own visions of beauty.
Lamps and candles -- they're number one on my thrift store list.