Consequence for leaving lights on: confiscate the bulbs!
My 5yo son's room is upstairs and he was constantly leaving on ALL the lights in his room and the bathroom when leaving for school. I'd invariably come running back from the garage for something and have to hightail it upstairs while I was already running late. So I started confiscating lightbulbs.
His overhead light has four bulbs, his closet has two, and his bathroom vanity has four as well. Even the nightlight is fair game. He was baffled by the consequences at first, but then his environment started getting dimmer over the course of a couple weeks. My husband started asking when my son could get the bulbs back. So I said he wins one back each time he catches us seated in a room while lights are on in a different room nobody's using. Our bathroom vanity is the worst: six bulbs, and they're constantly left on. They put out a lot of heat because we haven't yet splurged on the dimmable fluorescents that aren't cheap. We're all getting better about appreciating the energy we use, and it's gotten us talking about conserving things like the cool air in the fridge and the gas we consume driving across town.
What a great hack -- it turns what could be months (years?) of carping into a fun, enlightening conversation.
How do you get your family thinking about conserving energy/water?
Related: Turn off the lights or pay up