Cord Lamp is (Snake) Charming
It doesn't get more simple than the "Cord Lamp," a $150 lamp that transitions seamlessly from cord to turgid stand. It's $150 at the San Francisco MOMA store, but I bet an enterprising maker could find a way to stiffen a standard cord for less. If you could find just a cord with a light fixture in the first place!
Catalog Page [SFMOMMA.stores.yahoo.net via Oh Gizmo]

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Ikea sells just a cord + lightbulb and also available is a variety of lampshades in all different styles, but we don't care about that here.
I'd imagine Home depot/Lowes also sells 'just the cord + socket', although if they don't I'm sure they sell the parts.
The trickier question is how to make the rigid section of cord seamless with the rest of it. I doubt super-shellac to make the fixture /that/ rigid exists.
If you can't find a simple fixture and cord, you aren't in a hardware store - they are harder not to find than to find, in my experience. Worst case scenario - buy a cheap lamp and and bust away the rest of it.
As for stiffening it - run a length of stiff wire along the cord and then wrap both in the sheathing of your choice (colored electrical tape) perhaps less elegant but just as functional and the same basic look
I'm amused that the catalog page describes power cords as "one of the most disturbing decorating details". I'd say that that honor goes to either macrame wall hangings or blacklight posters of sexual positions, but then, I'm from the Seventies.
without a covering the light will get in your eyes.
Perhaps an epoxy could be applied to the cord, like carbon fiber or fiberglass epoxy (polyester).
Use a bit of stiff wire (as per the Lizardman), and use heat-shrink tubing to sheath it. It's available in long pieces and a variety of colours.
This should be really easy to make
Items
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Rubbing alcohol
Black spray paint
Electrician's tape
Small diameter electrician conduit
Ikea cord and socket set
Pipe bender
+clean the conduit with rubbing alcohol - this is so the spray paint will stick properly later on
+cut the socket off the cord set and thread it through the conduit
+use the pipe bender to make the conduit the correct shape
+spray paint the conduit black
+reconnect the socket to the cord and connect it to the conduit
+blend the cord and the conduit together with tape
caution - sharp edges on the conduit could damage the cord leading to possible shorts and fires, so be careful