Since turning an incandescent bulb on and off doesn’t shorten the life of its filament significantly, you do well to turn it off whenever possible. The same isn’t true of a fluorescent tube—turning it on ages its filaments significantly (due to sputtering processes) so you shouldn’t turn a fluorescent lamp off if you plan to restart it in less than about 1 minute.
Since light carries energy with it, something must provide that energy. However, the energy doesn’t have to come from electric power. Since objects emit visible thermal radiation when they have temperatures above about 500 C, anything that heats an object to high temperatures will make light. But light can also be made without heat. There are many ways to convert electric energy into light without making anything hot (for example, a neon sign or a light-emitting diode). But you ask about making light with electricity. The next best choice is light-emitting chemical reactions, such as those used in light sticks (liquid-filled plastic sticks that you bend to activate and which then glow bright green for about 12 hours). However, such reactions don’t produce all that much light and they consume the chemicals fairly quickly. If you are trying to produce large amounts of light without electric power, I’m afraid that you’ll have to burn sometime. That’s what people did before 1879 and the electric lamp.