The consumption peak of a bulb when it is switched on is not so significant to justify leaving it on, even if it is only for a few minutes. There is one exception to this rule: fluorescent bulbs do not last as long if you switch them on and off repeatedly.
Fluorescent lights: if you are only nipping out, you should leave them on, since these bulbs "suffer" each time they are switched on. If the light bulb blows, the cost of buying a new one is greater than the energy you would save.
Halogen and LED lights: these do not “suffer” when you turn them on; therefore it is always advisable to switch them off, even if you are just nipping out.