Runner gave a great breakdown of the significance of the lights, and I have very little to add except for the importance of road maps for each of the stages in order to get gold.
Stages 1-7 on normal - you can get gold by taking the shortest route (shooting the arrows) to the end of the level each time. Sufficient game is available to fill all the lights within a couple of laps, provided you're not getting hurt often. Most of the shortcut routes give you the better angle to attack the tougher baddies as well (cougars, bears) and there are fewer crows.
For stage 8 - I found that taking the short route (shooting the arrows) didn't give me enough high point animals (deer, caribou, moose) to shoot and get a quick win. Instead, don't shoot either of the arrows on the trail, and take the 'longer' way. You'll end up with at least the lock-on (4th light) perk by the time you start the second round. However, you'll have to deal with crows twice - as well as a section where you have about three cougars almost back to back (to back). As long as you essentially memorize the route, you shouldn't have trouble with them.
Most importantly on Stage 8 - once you start Lap 2, make sure you realign the first arrow (right at the beginning) to take you to the right again, or you won't have enough high-value targets to get your gold (or platinum if you've been rocking it). I understand that the game is trying to 'help' you by pointing you to the shorter route, but it's not helpful in this instance.
If, like myself, you struggled to remember what was coming next along the route, use a couch buddy. That's what myself and Tborskin did.
This one was by far the toughest for us to get in the whole game, so I wish you good luck.
If something doesn't make sense or you vote neg, please let me know why so I can fix it.