Well, in Exodus' lair there are power generators, though it'd be interesting if Castle British built something like that in Britain with a bunch of chained up minions to supply electricity... lol.
On the plus side, they aren't regifting, as they have done in other previous years.
Well, it's a well know fact that hamsters provide the electricity for the servers themselves...
Besides, magic exists in Sosaria. So the lights are probably powered by magically enchanted glow globes/gems etc. I mean, it's not going to be more difficult than enchanting weapons that shoots fireballs and lightning bolts, is it?
The first thing that comes to mind for a lot of us are modern day electrically powered christmas lights, but that's only because that's what we are used to. It's not neccessary the only possibility.
Then, there are power crystals, if each can power a golem, harnessing them for lights would be a piece of cake.
Or if we disregard the magical aspects, there are always minature lanterns, or even fireflies.
Just sayin'