If you press num lock it will go out, even when you're shut down.
As far as I know the lights stay on the keyboard because they're still getting power from the motherboard, there's still power going thru the system, albeit not that much. It will only go out when the switch at the back of the machine (psu) is flicked off or turned off at the wall.
All computers I've been around do this. The power light even stays on in my reciever for the cordless mouse, as does the lights on my keyboard. Until as I said switch it off at the back of the PSU.