Do you loose all lights, or just some? Playfield or backbox?
If just lights (Assuming power is good to rest of machine), I would be looking for a short or bad ground. Lamp sockets are notorious for being problematic, but this shouldn't cause you to blow a fuse.
IF you dont have one a DVM (Digital Volt Meter) is probably a good idea. You can check voltages and continuity. Also, Pinball Resource (google it), will most likely have a wiring schematic for your machine. Probably costs about $12 or so. Not a bad investment assuming you have difficulty finding the problem.
I would check voltage out of the transformer to that circuit and then look for any possible shorts.