Most of the lamps I've used are/were from Lamplight Farms, some metal, mostly glass. My two personal beefs about any oil lamp are with the shape, and the roller that turns the wick.

In the case of the roller, I try turning the knob to see if it makes good contact with the wick and doesn't slip or stick, it's holding the wick in place so if it's loose the wick might keep wandering down into the lamp.

In the case of the shape of a lamp-the lamp works by a wick soaking up the oil and burning the OIL, if the bowl/base of the lamp is tall the oil has a long way to climb. Either you constantly keep the lamp well topped up or you're burning wick. Shorter is better! Since you don't want to constantly refill the lamp, you want a wide bowl to hold plenty of oil. Wider is also more stable which is better when flames are involved.

I prefer to look for nautical or traditional styles because the tried and true designs work the best, although they don't have to be expensive reproductions. I have seen fairly reasonable lamps in the candle sections of retail and hobby shops. (and hardware stores) Kits are also available if you have sturdy, heat tolerant containers to attach to the burner. Check before you buy that the wick and globe are easy to replace and the globe isn't fragile glass. Lighter colors will reflect more light so avoid dark metal,etc.

And a second vote on the ultra pure oil, the cheaper stuff has more of a smell.