I think it depends on where your lights are in relation to the threat.
You DON'T want to backlight yourself. In the ideal situation you could turn on the light in the room that the threat was in, while still keeping yourself in the shadows.
I would not want to be going from room to room leaving the lights on behind me.
I could see it as a valid tactic if you heard noise in a room and went to it in the dark and then flipped the light on knowing the potential threat was contained in a specific area.
Better yet, have your security system set on STAY mode so when the alarm goes off, you just wait in place until the police get there and let them do what they get paid for.