A very common mistake with new Subaru owners is they accidently hit a switch that is on the top of the steering column w/o realizing it. The switch is not the hazards, it's for the parking lights. Flick the switch forward and the parking lights will go off.

The next question will be "Why the heck is there a separate switch for that anyway?" The answer is Subaru's can't leave any lights on by mistake, they go off with the key so we don't run the battery down. I kind of like that myself. If you are parked somewhere, it's dark and there is chance the car could be hit, you can turn on only the parking lights and be visible. The only way to do this is otherwise is with the ignition key turned on.

Yes the function of the switch is explained in the owners manual. You probably feel silly and other Subaru owners will make fun of you for doing this. The fact of the matter is they probably did it at one time or another and had the same problem. They will never admit it though. It is very very common.

PS: I've never done this myself however.

Look around an see that no one is watching, move the switch to this position and feel free to make fun of others that ask the same question in the future.