Molten Meditation's guide to restoring a cloudy lava lamp.
This has been a very popular article and so I'm bringing it across untouched from the old website. Some of the feedback I've had would suggest that perhaps it's best to use distilled water to ensure the lamps doesn't become cloudy again after time. Also, I should say that replacing the glass is not that expensive and if it's going to take you weeks of fiddling to clean out a cloudy one then maybe it's simpler to visit Mathmos for a replacement :)
http://www.mathmos.com/