Volvos have their lights set to come on with the engine because Sweden (and increasingly other countries) require dipped headlights to be on at all times. Just as switching the car on switches the lights on, so switching off switches the lights off! In the UK, new motorbikes are going to have the same requirement starting sometime soon.
are you sure mike? i'm no expert on this but i'm pretty sure i don't see modern Volvos going around with their lights permanently on...though back in the 80s, yes that was a common sight. and surely no car automatically switches its lights OFF when the engine is turned off so as jenstar says they'd only go off when turned off or the battery went flat.
If I remember correctly, you can opt to have the 'always on' feature disabled when you order a new Volvo.
Some of the Fiat range used to turn off lights automatically when you removed the car keys.... they used to have a parking light position on the ignition barrel in case you were parking on an unlit road etc...