On but not extremely bright. My eyes can't handle normal house lights cause I find them to bright and normally use shady lamps whenever I need more light. Same goes with sex. I like them on just not blinding me!
Off, we have a streetlight across the street that lets in enough light to see where each other is at. Other than that I don't want any lights on. I prefer the dark to bring out the other senses and anticipation of what it is to come next. My husband is on a kick to have them on though.
I wish there'd been an "other" option.
Lights on or off doesn't matter to me, but my favorite is having the lights off and just having 2 or 3 lit candles placed around the room. It provides enough light for you to see, but enough shadow to make things more sensual.