Dying to know huh?
well, I did a little research. Those light are called phosphenes. The dictionary definition is as follows:
A sensation of light caused by excitation of the retina by mechanical or electrical means (possibly also magnetic) rather than by light, as when the eyeballs are pressed through closed lids.
That is what you see when you close your eyes or sit in the dark long enough. They occur in greater force when you close your eyes because the retina is being exposed to pressure.
I'm not going to go into all the details... just read this: http://en.wikipedia.org/wiki/Phosphene