Electrical turned on with no key! Help

I usually can find an answer to my questions without posting, but this one has me scratching my head. I went outside and the lights to my 03 325i where on. When I tried to turn them off I realized that they where in the off position already. Also, all my gauges where lit up and the radio was on. I put the key in, turned it on, but when I turned it off everything stayed on. I had to disconnect the battery. I haven't driven the car in a day but for some reason everything just came on with no key for no reason. Is my car haunted? Any help would greatly be appreciated.