I don't really care either way! Depends on the mood I guess. I would say most of the time it happens at night in the bed for us so the lights are usually off, but on the rare occasion we get to have morning sex (1 year old son usually wakes us up!) then it's always pretty bright. When I plan special nights I usually have candles and when we end up going at it on the sofa or living room floor then the lights and/or the tv is usually on.
So it doesn't matter to me, I'm more into what I'm doing than to really care about if the lights are on or off!