General:
* A constellation of lights (suggests a grouping of lights in the sky)
* A cluster of lights (implies a close group of lights)
* A string of lights (used for Christmas lights, or a series of lights along a path)
* A display of lights (for a visual presentation of lights)
Specific:
* A bank of lights (for a group of stage lights)
* A set of lights (for a group of lights used together)
* A collection of lights (for a variety of lights gathered together)
Ultimately, the best collective noun will depend on the specific situation and the type of lights you're referring to.