I had to battle with my step mother to have her turn off unused lights, looks like the "It costs more to turn it on and off than leave it on" myth is popular here in Canada and she said it was her grand father who was an electrician who told her that.
I can empathise with that, people seem to hold onto the myth, regardless of how much science and engineering you explain it with. But, I've figured out the better way of convincing someone is to not dismiss it as a myth, but explain to them that this used to be true for old florescent tubes which took several minutes to warm up; and that this was not needed since modern light bubls: incandescents, compact florescents, halogens, and LEDs, start up pretty much instantly. Actually it might still hold true for modern florescent tubes, but because of better technology, the only time when it's beneficial to leave it on is if you intend to leave the room for only a few seconds.
Turns out people respond very positively when you tell them the things they know are out of date; I've seen people I've told the above to go about gleefully correcting other people in an "I know something you don't" kind of way.
On a side note: totally agree with st2000: if I have some spare money, or am feeling particularly energy-conscious, the first things I'd do would be to install an air-source heat pump (better utilization of energy), insulate the external doors better (reduce losses), and possibly install some solar-thermal water heating (free energy!).