Electrical problem

Recently an electrical problem has reviewed it self. When turning the car off the headlight remain on. It seems to be a intermitant thing but seems to be occuring more often. I have been having to disconect the battery to prevent discharging it. Sometimes the heater will stay on when the ignition is turned off as well. Is the problem in the computer or in so other relay or ignition switch? Any ideas out there on this issue?

I don't know where to start looking!

Thanks in advance..