I have accomplished this by placing the lamp on a table close to a wall.  I tied high test fishing line around the lamp and ran the line through a small hole in the wall behind the lamp.  When the gun shoots, a person back stage yanks on the line, the lamp smacks into the wall breaking. 

Thanks KEB!  I will keep that in mind.  I didn't think of it like that.  We don't have a weapons choreographer...I don't even know if there is one in the area...however...one of the cast members took fencing in college...so that will be helpful in choreographing the sword fighting scene. 

I have also rigged the effect with an inverted mouse trap contacting the underside of an ashtray (loaded with ashes and cigarette butts, of course) when placed on a specially modified small side table.  Hidden from view was a remote release, so when the gun was fired, the mousetrap was released via a stagehand backstage working the remote release, and the impact of the closing trap spring would send the ashtray and its contents flying.  The timing took a bit of rehearsal, but the effect was very believable and fun, especially since the table was located almost center stage, away from any walls or doorways.  It was always a "How'd they do that?" moment in the show.

Since we are talking about fun shot effects, we did a show a few years ago that required tow shots to hit different different areas of the set.  We rigged a Cuckoo clock to split apart and ran an airhose in through the back.  we would stuff the clock full of colorful feathers and when the clock exploded we pressurized the air line sending feathers everywhere.  The other shot was to hit a picture of the Queen.  I had mounted a rotary sanding disk on the back of the picture and ran the post through the wall and attached it to a cordless drill.  When the shot went off a stage hand would pull the trigger on the gun and the picture would spin like in one of the old carnival shooting galleries.  It was always fun betting on whether the Queen would end up upright , upside down , on her head or somewhere in between.