Do you sleep with the lights on? Not me. I need absolute darkness to sleep. But to do so is not wrong. It's just a habit - especially when you are too used to it. However, I'm sure most people sleep better with the lights off though. I can stand a little light but with the lights on full time, it will surely disturb my sleep (dah le susah nak tido malam!) and yours, whether you realise it or not.
I may occasionally fall asleep with the lights on - most of the time it's because I'm really exhausted. Funnily enough, when nobody else is home, especially when Hubby's on the night shift or goes out lepaking, I prefer to sleep with the lights on (I'm referring to the bedside lamp). I figure with some light, it looks like someone's still up/at home (sometimes I leave the radio on too in that situation). It's not like I'm afraid of the dark or anything, it just makes me feel safer and protected knowing if something is not right (if you know what I mean), at least I can find my way out! Ha-ha.
In the end, it all goes back to what is more comfortable to you. Lights on or lights off - the choice is in your hands, except the former is gonna cost you a fortune on your electricity bill! So, get a lamp that comes with a timer or an energy saving bulb or something if you really need to sleep with the lights on. You can sleep well and save electricity at the same time! :)
p/s: Do you know that a fear of the dark phobia is called nyctophobia? It's an overwhelming fear of dark that causes intense and/or psychological distress. Find out more here.