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2002 z06, cannot get everything to turn off, had to disconnect the battery to turn it off. Hook it back up, same issues. Recently had ignition replaced, not sure it's related to that, but I haven't used the lights since they performed the work.
If you have the owner's manual, look at Page 2-100. Pressing the "Options" button will allow you to set how some of the lights work as you approach the car and using the fob to unlock the door or to lock it after exiting.
Press the Options button and repeat until the "Approach Lights" menu appears on the DIC. This will allow you to turn on the fog lamps, front turn signals, back-up lights and courtesy lamps. The lights will be controlled by a timer and it's possible that the time is not working so the lights won't go off.
Headlights are also controlled by the Twilight selection. This will turn the headlamps on when it's dark outside. It will also turn the dash lights on.
Multi function switch was bad, you can turn the switch but it doesn't rotate the helical gear. Rotated the contact gear by hand, reinstalled, and the lights went off. Guess I have a part to order.