While the above is all true
the thing to remember is that the power to run the lights is a tiny fraction of the power output of the engine- so the difference in fuel economy between driving with your lights on and driving with them off is negligible at best. You affect your mileage far more by driving with the windows open (increasing the drag on your car) or with the air conditioning on, if you have it (increasing the load on the engine significantly) or by having soft tires (increasing drag on the road- try pedaling a bike with soft tires vs properly inflated ones to see for yourself) or by speeding (as you approach the terminal velocity of your car, more fuel is spent pushing air around).

So overall, driving with your lights on will do precisely doodly squat in terms of mileage. Or, to put it another way, it's on the order of how much mean sea level changes if you piss into the ocean.
( The Resident Loon Not a demographic. Do not measure., Mon 27 Oct 2008, 16:13, Reply)