theres a million ways and what you have asked is very general, theres a difference beten lighting effects and lights going on and off.

you can key the 'intensity' from your channel box.., at the proper frame (of yor choice) select the 'intensity' of the light in the channel box, it will go black next to its numeric reading, right click and select 'key selected' and then move to the next key where you want the intensity to change and do the same but remember, the light will raise or drop in a linear way (gradually) from one key to the next. You would have to key again the frame just before you want the change to happen if you want it to 'switch off' or you could key 'visibility' in the channel box, visibility in just as it suggests, it is visble until you key it to off.

hope this makes sense, Im sure someone will make it a little clearer for you.