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Had the same problem with my truck. The key was out and the lights were in the off position but still on. I could here the clicking sound like it would make when the auto lights would go on and off. I ended up pulling the panel up on the dash and disconnecting the sensor for the auto lights no problems since but it has only been a few days. Good luck!
Had the same on my 2003 F150. Headlights stay on even if switch and truck are off. No tail lights or dash lights. Blinkers work and brake lights work. Go under the hood and check fuse #6. Headlight main fuse for relay. It is 15 amp and probably will be blown. If you remove the fuse directly next to it (toward the fender) the lights will go out. No need to disconnect the baterry. Mine does this periodically which means I probably have a wire shorting but I haven't found it. I keep a box of 15 amps in my truck.