LIGHTS, camera, action!
Lighting, one of the most important things when doing claymation. The lighting can sometimes make or break your scene, also good lighting makes editing and chroma keying much easier. The basic goal of lighting is to get rid of those unwanted shadows and to get your background screen clear of darkness. Lighting also adds to the mood of the scene and directs shadows to the wanted position.
I recommend using at least 4 lamps to keep your chroma colored background free of shadows. Then extra lighting to add shadows or brighten certain parts of a scene. If you have lighting all around the scene remember to add a backlight too. Without the backlight, objects in the scene get a ghostly type glow to them making it seem unnatural. For example 3 lights(above, left, and right) light the background, 1 light acts as a sun, and 1 backlight.
Personally I like to use desk lamps with the bendy poles because I don't work with very large characters or scenes. Also desk lamps can accept different wattage lights so that you can't get the disired amount of lumens out of a lamp at a certain position. Finally, remember not to get the lights too close to your figures too, they produce heat and clay doesn't like heat.