By popular demand, here is the simple installation for a buzzer that will sound if you switch off the ignition and leave the lights on.

      You need any12-volt DC noise maker of your choice.
Piezoelectric buzzer from Radio Shack works fine.
www.radioshack.com/product/index.jsp?productId=2062397
www.radioshack.com/product/index.jsp?productId=2062402
www.radioshack.com/product/index.jsp?productId=2062403
If you're cheap you could even hook it to the car horn instead.

And you need a tiny bit of logic to tie together parking light output and ignition switch output. The simple form of this would be a miniature or micro single-pole normally-closed relay (or double throw).
www.radioshack.com/product/index.jsp?productId=2062479
www.radioshack.com/product/index.jsp?productId=2062481
A crafty electronics guru might be able to do it with a transistor or two instead of the relay.

Connect parking light terminal of lighting switch to buzzer, connect buzzer to relay Com or NC terminal, and the relay NC or Com terminal to ground. That will make it buzz with lights on. Connect ignition switch output to relay coil, then other side of relay coil to ground. That will switch the relay to break ground and kill the buzzer when ignition is on. These things are so small you can epoxy them to back of the dash panel.