The weather has been pretty crummy recently in my part of the country, with lots of snow, rain or simply overcast skies. I've been shocked at how many people drive in these weather conditions without their headlights turned on.
It's not just that headlights help you to see better in wet weather and low light. I'm sure that my headlights do nothing to improve my ability to see on a typical snowy or rainy day. But headlights do help you be seen by other drivers as well as by pedestrians.
The driver's manuals for Connecticut (where I live and work), New York and New Jersey (two states where I am likely to drive) all state that it is the law that if you turn on your wipers you must turn on your headlights. Chances are good, therefore, that it is also the law where you live.
And remember -- if an approaching driver flashes headlights at you during a period of low visibility, it could mean that your vehicle is hard to see and you should turn on your headlights. I routinely flash at other drivers under these conditions, and am appalled at how few people take the hint.
As the New York drivers manual advises, do not use parking lights or daytime running lights as a substitute. Headlights do a better job.
Finally, take particular caution late in the afternoon. You may start out in plenty of bright light, but the sun sets pretty quickly. I see too many drivers without their headlights at dusk (or darker!). Don't be an accident waiting to happen.