you could use a DMX dimmer/relay, its just more expensive than DIY solutions. I have used these relays/boards a bunch in the past:
http://www.sparkfun.com/products/9096 -the board and instructions (you can splice directly into a lamp power cord instead of making a plug in box…)
http://www.sparkfun.com/products/101 --the relay
just run wire from digital pins to relays, and connect a common ground. You can splice into existing extension cords or lamp chords to control the power to them. I would say around $30 in parts (assuming you have a few arduinos lying around your house like I do) and the cost of 4 incandescent lamps. (dont try to get near the 30a load of the relay on that board, the board will melt around 4 amps (one light shouldn’t do that unless its a 1000w HID);)
Arduinos are lots of fun. Follow the blinky lights… use the 'duino
There are also plenty of rs232 controlled relay boards out there. Just use a USB-rs232 dongle to send commands and the board will have a logic chip to read commands and flip relays. You will need another power source for that (~12v)(arduino would need power too so you are looking at adding another wallwort/transformer somewhere…)
If you pick up USB, make sure it has drivers that work with your system (newer than XP, x64,etc…)
The use one to switch a bigger one sometimes needs to be done from a microcontroller (and optoIsolaters betweeen the two). I built a 450A breaker box control unit a few months ago with beagleboard and arduino so it’s still fresh in my head.