So I haven't seen this headlight problem yet in the forum. I have a 2000 XJ with just 101,000 miles. I think the ignition switch has been replaced. I learned if I leave the headlights on and shut the engine off, the headlights stay on. Of course I now make sure the lights are turned off before I turn the ignition off. I make sure I have the key in the correct position to remove it so the lights go out. The other day, my wife turned the ignition off and the lights went out correctly. Hours later, the headlights only were on. The headlight switch was turned off, the keys weren't in the ignition and it was in the right position. We couldn't believe it and nothing we did would turn them off. I had to disconnect the battery. Now a day leter, it works fine. The lights never flicker like I read others have experienced. Anyone got any ideas?

 

The headlight delay function will keep the lights on after you've turned the ignition switch off...This happens if the light switch is still on when you turn off the ignition { you then turn off the lights and the "delay" begins for approximately 30-40 seconds} in theory that's enough time to get you out of the garage/in the house, etc... Try it and see if the lights actually time out and turn off...I'm sure there's a relay for that feature and by the sound of it the relay might be going bad.. EDIT: As luck would have it here's a thread with some info and a pic of the relay.. headlight sentinel feature

 

So this morning I drove the Jeep and didn't use the headlights. After being home for an hour I notice the headlights were ON again and the switch was off. I then did a lot of reading and decided to look at the Headlamp Delay Module (HDM). Guess what? I don't have one. I then just checked all connections and then all fuses and relays. I checked the fuses inside on the passenger wall and all three fuses related to the headlights were good and of course the lights went out individually when I removed the appropriate fuse. The only item that affected both headlights was the 30 amp Headlamp Switch fuse in the Power Distribution module in the engine bay. Further research indicated that is powered directly by the headlight switch. So maybe that is bad. I will investigate that further in detail once I calm down more...

 

The headlight switch is known for burning out because it takes the full current for the lights instead of just energising a relay. I'm not sure if it can fail closed... but I guess stranger things have happened?
That switch is also involved in some other unexpected functions, are you experiencing any other symptoms?