I've just encountered this problem on my 97 Colorado, got up the other morning and both headlights were on, stalk was in its proper "off" position and no keys in ignition. It had been raining and I suspect moisture got in somewhere. I disconnected the battery negative to troubleshoot it later as had to go to work (have another work car). Anyway, I connected the battery back up last night and the lights were off as normal. Then today, the same thing happened again, headlights came on by themselves with no key in ignition and stalk in its off position. The tail lights don't be on, it's just the front headlights. Whilst they were on today, I pulled each of the 2 headlight fuses under the bonnet and the respective left / right headlight went out. I didn't think to pull the relay, but I pulled it later when the problem wasn't present and it looks ok, I didn't open it, but the terminal contacts on it appear fine and the fuse box itself isn't wet or showing evidence of moisture. I tried wriggling random wires and wire looms, etc, to see if the headlights would turn on but they didn't. Where is the earth point connection for the headlights, is it an actual earth cable bolted to somewhere in the engine bay?