Officers initially responding to a crime scene have to note the condition of the room when they entered, including whether lights were off, and then keep the scene in the same condition. After the scene is initially surveyed, the lights may be left off to capture images using ultraviolet (e.g., to see healed bruises or bite marks no longer visible in white light, bloodstains), infrared (e.g., to see heat sources) lighting or use some other forensic tools.
Some of the scenes in C.S.I. in which Grissom & Co. knock about in the dark at the scene are just exaggerated or dramatic license, (but sure look cool on film!); real CSI's use the electical lights of a scene if necessary and if it wouldn't compromise other evidence,and I think they have done so on the show as well.