You can select a light on your ship and turn it on with the right-click menu, but the light control and keyboard shortcut ("U") do not turn on any lights. No installed lighting and no cockpit lighting. The light icon at the top turns white to indicate lights are on.
Also, when you right-click an external light to see its status, it shows the light to be off regardless of the indicator at the top of the screen.
Doesn't seem to be the case. Action groups were checked while on the surface of Mun (new feature I'm glad to have) and all the lighting seems to be in there. Ship is fueled and powered. Tested new ship on launch pad with Mk3 Cockpit and some extra lighting, same problem. Changed to a Mk1 and the lights work fine. I saw a new report about the Mk3 lighting that made me think of this.
Subject changed from Lights won't turn on with keyboard shortcut or lights icon from next to altimeter to Lights won't turn on with keyboard shortcut or lights icon from next to altimeter when Mk3 Cockpit is used
Work Around: In flight (or design) use the action group editor and remove the Cockpit from the Lights action group. The action from the Cockpit is labeled as "Toggle" and not "Toggle Lights" so there seems to be a related bug there.