We had a small problem this weekend. On a trip in the cotswolds, the weather was awful so I had the lights on while driving around. Suddenly we were aware of some smoke coming from the column. Before Laura managed to jump out the passenger door (at 50mph...), I realised that it must be the lights and turned them off (not until some melting of the wire sheath had occured).
When I got back I had a look around, I found the source of the problem was at the front of the engine where the headlight wires run along the headlight assembly (frame). The live cable had worn, where it had a contact in it, and fused to the engine housing - causing a short. I'm surprised that a fuse didn't blow... but there you go I'll be checking them too.