headlights staying on and burnt smell

I have a Dodge Ram 2500 Diesel '97. 300,000 kms and going strong.
Yesterday came home and 1 hour later found the lights on (not switch) and a burning smell. Checked fuses under the hood, but all seemed ok.
I disconnected the battery. Now What? Any ideas as to where to start?

Its your headlight switch. Replace it. Could be the dimmer switch on some of the later models when the switch is pulled back even with the lights off the brights will come on. More than likely its the headlight switch.