Atlantis is stated to have the internal volume of the city of Manhattan! (At least according to the Stargate Wiki) That's a lot of space. But we never see more than about 50 people on the ship at once, unless they are invading or being refugees.
So why is everything so lit up? Two reasons:
The Atlantis crew don't have full control of the city. They turn it on, it surfaces, and starts coming to life. Many of the bottle show plot points on Atlantis comes down to them discovering yet another feature or system which is online that they didn't know about. Not having full control over the city, the lights come on. I imagine there's a light switch in every room, and that you could turn them off if you wanted to. You'd want to avoid simply switching off chunks of the power grid, though, because you don't know what that might turn off. It might end up bad. So Atlantis is as the Lantians left it; lights on and all. So why don't they care?
ZPM's contain MASSIVE amounts of power. Yes, the show worries a lot about how much power is being pulled from their ZPMs, but keep in mind: three ZPMs kept a forcefield intact for 10,000 years at the bottom of the ocean, and still had enough power to surface the city, throw upt he shield at least one more time, and run life support in the city. The one thing they are not worried about is power usage. Lighting is the second most efficient conversion from electricity we have (the first is electric heat), and the cost of running all the lights compared to, say, the Stargate itself (being as Atlantis has to power the Dial Home Device from the ZPM as well, and the DHD powers the gate...), it's a rounding error.
The lights are on because it's too much effort to turn them off.