I have a 2004 Volvo V70 wagon with 170000 miles and still running well. Yesterday after shutting the car off, my headlights stayed on! Tried everything, no luck. Had to take the battery cables off!
Any suggestions appreciated.

 

It's been almost two months since you posted. Any luck? My guess is, when you turned the ignition off, the key came out slightly before the ignition reached the '0' position, so in other words, probably more was on than just the lights. It's as if the ignition was on the first position (position I) that turns on the accessories.