One usually leads to the other. Electrical shorts happen when the two wires that power the lamp somehow become connected through some other means than the bulb itself. The result of a short is usually sparking, smoke, very hot wires, and possibly fire. This might give you a small jolt, stop your heart, or ruin your love life. The fact is you want to avoid coming into contact with any metal part of the lamp which is also in contact with the wires.
Fires happen when some hot part of the lamp is too close to a meltable or flammable part.
These days the kids are using more and more plastic in their lamps, which is very ultra-modern and slick, but leads to lots of highly combustible petrochemicals in close proximity to a hot bulb. When I was a kid my parents gave me a lamp with a homemade lampshade. Actually, this was the lamp upgrade they did when I was about eight, to make me feel like a modern kid with a modern lamp instead of a little kid with a Pooh lamp. Anyway, one day I remember smelling something funny while I was sitting around picking my nose in my room, or doing whatever it is I did at that age besides taking the TV set apart. I looked around and spotted my Pooh lamp smoking away.