I believe that most lamps have a solution of alcohol and wax globs in them. When the heater (light bulb) heats up, the wax becomes less dense and rises to the top in a bubble. As it cools at the top of the container, if slowly settles back down before taking another trip up. I found a HSW article that also shows you how to make your own...

http://www.howstuffworks.com/question36.htm
Source(s):
http://www.howstuffworks.com/question36.htm

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I got this from Wikipedia:

"The lamp contains either an incandescent bulb or halogen lamp which heats a tall.....glass bottle containing water.....and a transparent, translucent or opaque mix of wax and carbon tetrachloride.....The wax is slightly denser than water at room temperature but is less dense under warmer conditions.....When heated, wax becomes fluid, its specific gravity decreases, and blobs of wax ascend to the top of the device where they cool and then descend. A metallic wire coil in the base of the bottle acts as a surface tension breaker to recombine the cooled blobs of wax after they descend."

http://en.wikipedia.org/wiki/Lava_lamp

EDIT Apologies, it's 5.15am, I'm very tired and I didn't read your question properly! :s I'm afraid my answer is true but boring :p
Source(s):
http://en.wikipedia.org/wiki/Lava_lamp

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http://www.cartoonstock.com/directory/l/lava_lamp.asp

this website link has many funny ways that lava lamps work check it out =]
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The bubbles inside is really just fat collected from aerodynamic elephants, that's why they float. Poor Dumbo

Here's a photo to illustrate my theory!
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