Lohan, 24, walked into Los Angeles Superior Court wearing a tight white dress and patent leather heels, Us magazine reported.
Lohan "was smiling at times and even laughing," a witness told the weekly magazine.
Los Angeles Superior Court Judge Keith Schwartz set bail at $40,000 -- $20,000 for the theft charge in the necklace incident, and another $20,000 for the possible violation of probation.
Shawn Chapman Holley, Lohan's attorney, entered a not guilty plea.
"You're in a different situation now that a felony has been filed against you. Although people have been courteous, in this court's opinion, in only requesting $20,000 in the probation violation, you now have a pending felony case. If you violate the law, I will remand you and set no bail," Schwartz told Lohan.
"You're no different than anyone else, so please don't push your luck, because I'm telling you, things will be different. Do you understand what I'm telling you?
"Yes, your honor," Lohan replied.
"I honestly feel I did nothing wrong," celebrity news Web site TMZ.com quoted Lohan as telling friends this week. She denies stealing the gold necklace with semiprecious stones from the Kamofie & Co. jewelry store in Venice, Calif.
The actress, who began her career as a child fashion model before making her motion-picture debut at age 11 in the 1998 remake of "The Parent Trap," allegedly walked out of the store with the necklace Jan. 22, the district attorney's office said.
A friend of Lohan's later brought the necklace to a police station.
Lohan reportedly said the store had loaned the necklace to her and her assistant returned it to police, ABC News reported.
Lohan is on supervised probation in a 2007 misdemeanor case involving driving under the influence.
If convicted, Lohan -- star of the films "Freaky Friday," "Mean Girls" and "Herbie: Fully Loaded" -- could go to California state prison for up to three years.