Are you talking about clearance lights, like on duallies and big Fords and Chevies? If so, i have seen it done on one xj around my house. I don't have any pics., but it didn't look that bad with the set-up she had.
I've seen a couple of XJs -- one here in CT and the other in ME -- that had visors with clearance lights in them, but none with the lights directly on the roof. I might do it on a trail rig just for ha-ha's, but for a daily driver I'd prefer not to put more holes in the roof ... especially not right over the front seats.