Help!! Headlights won't shut off!!!!

Hi,
I have a 2004 Mazda 3 and the headlights won't shut off!  The switch works in turning on/off the high beams and the directionals work but I can't turn my lights off.  I have tried unplugging/replugging in the bulbs with no luck.  Anyone have any suggestions????

Bad relay.  I've seen it on domestic cars... kind of funny. 
1. Remove battery negative terminal while you have car parked so as to not run down battery.
2. check electrical box under the hood.  Automotive relays are usually square 2" boxes - there should be a little wiring diagram to help isolate which one is for the lights.

Is a relay the same as a fuse??? I know this may be a stupid question, but I'm not that mechanicaly inclined...

A fuse is a device, that's meant to burn out before your expensive equipment burns out (a weakest link -on purpose).
A relay, is a like a switch controlled by a small voltage to turn off and on a big voltage.  So say, your serial port from your computer could be used to turn on a 1500 watt heater, you'd use a circuit with a relay and an external power source- since obviously the poor little serial port on your pc cannot drive 1500 watts (your whole computer probably only has a 400watt power supply).
 
They'll typically be housed together in an eletical box under the hood somewhere.  Automotive fuses are usually candy coloured clear plastic bits with two metal prongs.  Relays are usually black and the size of a ice-cube.

All of the relays and fuses for the headlights on a 3 are located in the Passenger Junction Box just above the passenger footwell area. Check your owners manual on how to remove the undercover and drop the fuse box down for access. The high and low beam relays are built into the PJB and are not replaceable. The fuses are removeable so you can at least shut the headlights off untill can figure out what is wrong. The low beam fuses are labeled HEAD LOW R, HEAD LOW L, HEAD HIGH R, and HEAD HIGH L.
 Just pull the low beam sided so you can shut lights off and keep battery from going dead.
Still under warranty??

Hi I just had this problem happen to me. I was coming home when it was just getting light and left when it was still dark and left my lights on. Drained the power, so I got a jumpstart and the lights wouldn't go off. So I looked online and found this. This will probably save me a shit load of time and effort, so thanks.

I removed the lighting relay and disconnected the battery. Tomorrow morning I'll go buy another relay.

I have a question, how much do these relays run for. I'm guessing less than 10, probably less than 5, but I'd still like to at least know before I actually go to an auto store.

Also, how will I know which one to get. I realize this is a mazda forum, my car's a honda accord. I have the relay, I'll bring it in with me, but where would I find what type of relay I should be buying. The only thing on the relay is a string of text pressed in the platic that reads: 7H0321. Is that sufficient info?

In any case, sorry to revive an old thread, and thanks for any help.

Hey everone, sorry for a dead thread update, but I registered on this site just for this. My 2004 3 hatch is having the exact same problem as the OP. I just got off the phone with the parts department and he said that a replace PJB is about $1100!! Is that right? That seems insanely high for a few relays and some fuse connectors. (he did seem a little confused as to what i was talking about though, maybe he pulled up the wrong part)

He also said it could be a problem in the control stalk. Only 126 bucks for a new one, but it looks harder to replace (maybe?)

Anyway, does anyone know how to determine where the problem lies? PJB, stalk, or something else? I've been reaching under my glovebox and pulling the headlight fuses for about a week and its getting old.

\Yeah, you ARE bringing back the dead threads.     
It's probably a the headlight relay as was stated earlier.
They are in the fuse/relay box under the hood (RS of the airbox as you are facing the front of the car) and should not cost too much to replace... certainly not $1100.  I would think the average corner parts store has generic relays in-stock that will work (plug-in) just fine.
 
However a correction to Insidious Dr.9's post: Relay's do not control or regulate voltage.  Their job is to take a device that requires high current (not voltage.  Voltage in a 12v car is... ~12v consistently) and allow it to be controlled by a low current switch or electronic switching devise.