Which lights? The illumination lights, or the indicator lights? Or both? If the lamps that light up the dash at night are on, it could be a simple as a bad headlamp switch, or a short to ground in the circuit. If the indicator lamps are all on (engine warning, ABS, turn signal, oil pressure, etc.) then it may be something in the ECM (Engine Control Module) or the BCM (Body Control Module) if your car has one. If there is no code then it is most likely a problem that the computer cannot detect, which suggests a short to ground in some branch of the circuit that is common to all of the lamps.
Are there any loose wires hanging under the dash? There may be a ground terminal or screw post which has come loose somewhere, and the power is actually feeding backward through the lamp circuit to get to a ground.
This will take a lot more investigation.